I took it to mean he was just wondering...who and what the Warrior of Light is. The WoL is the champion chosen by Hydaelyn herself and imbued with her Light.

We just took out Thordan and the Knights of the Round without being Primals ourselves. How did we do it? Thordan, I think, died wondering what was UP with the WoL that made them so powerful. But he did not see them as a beacon of hope, he saw them as something terrible and fearsome.

I think the way he asked the question in a state of terror implies that the story is about to go into some of the darker aspects of the WoL's existence and what they do to the balance Elidibus keeps yapping about.

As for Gale, I think he didn't have much of an initial reaction. I imagine that the Vault and everything that happened after it left him woozy (losing two companions, not knowing he is moments away from losing a third). He probably just stood there with a thousand yard stare and only later asked himself the same question and came up with the answer "I'm just not sure anymore."