It says to me that she's aware that JH is worried about his son, and she's tacking herself onto this, possibly because she spent 3 days with JH prior to her arrest and during that time she had to act as if she was worried for Lucas? I think the phrase is something she thinks someone with a missing child ought to say. EG chooses to not expand on it with examples of how they're worried sick, so it seems a rather surface thing for her.
Reviewing the transcript again, so much of it is about the abuse allegations, and she's making it that way.
The interviewer tries twice to broach Lucas' disappearance. The first time EG brings up the two strangers. The second time she says she has ideas but then says she really shouldn't have spoken to the interviewer and she has to go. (But the interviewer does manage to keep EG talking and EG goes back to talking about the abuse allegations.
I think EG feels on safer ground when talking about the abuse, maybe because she's had so long with these allegations being a part of her life and so long to 'make up' defense stories for herself, so they're a lot easier to talk about. Talking about the abuse allegations also keeps the interviewer asking questions on that subject, so it keeps EG from having to talk about Lucas being 'missing'.
In this regard she's the opposite of JH who didn't want to talk about the abuse allegations, he said that Lucas being missing should be the current focus. EG doesn't want to talk about Lucas' disappearance, she prefers to talk about the abuse allegations.