Her first impulse is a rush of impatience - there's really only one way to Zanarkand, especially with all the temple stops being required, so does it matter? - and she scowls a little, but then he clarifies. Alright, that's fair.

"Kilika, then Besaid, I guess?" Sheena says. "We'll have to take the same route either way, but it seems weird to skip a temple and come back." And leaving them for later makes no sense at all, considering just how far it is to Zanarkand.