Twincest, mpreg, what do you mean we're not even the species we thought we were?!, going through canon-ish awful stuff together is better than having to go through it alone, memory lost/regained, probably other things I don't know about right now

Who's more upset depends on exactly what's happening at various parts, but strongly suspect Sylvie is going to have a much harder time with some things than Loki is.