Hm. Hythlodaeus doesn't know what it means if the gun is cocked, but at this point he's more interested in seeing what it actually does. Questions can be asked when he's seen what it's capable of, and so he follows Caitlyn readily.

It's how he enjoyed doing things back home, too. See the concept first, look over the notes and application for it, and ask anything that seeing it and reading about it first didn't answer. It feels like the most effective way to get things done.