"...We didn't go very far. Teddie-san took me to the shopping district, fully intent on turning back if things got out of hand."

It's not even that he can fight back. It's... "Besides, I had obtained the power. You need a Persona to enter, correct? Even if mine ended up a Shadow, I knew there was a chance I'd see one, and I knew not to say that it wasn't me. I was... prepared."