Lucy's superpower is that she can summon dark shadows at will to induce maximum shame.
Hyde's reaction is interesting, looking at it now. On the one hand, he's mad that Rachel tried to drag him back to the Society, but he's also kind of?? amused at the whole situation?? Honestly as long as things are interesting and he gets to run around real fast, Hyde is doing okay. He's only genuinely angry when he is prevented from doing anything at all, and only Jekyll has the power to do that.
(Okay, he's also mad at Lanyon, but that's for Weird and Suspicious reasons that he doesn't take the time to interrogate properly.)