If Outer Gods found anything like human entertainments to be entertaining, They would be constantly watching humans all the time, and kidnapping mortals on a regular basis... well, Esta supposes he does not know this to be false.
"I doubt It is entertained by anything like what we find entertaining," he says nonetheless. "But that It has troubled to put two of us here, at least one with false memories, suggests It to take interest in some interaction between us which is liable to depend on us talking."
If there is nothing more to say, Esta will go back to thinking, or thinking while working on such useful work as may not be obviated by his spellcasting.
That he told altered-Mariona of his concerns -- well, partially, a little, it is because of that properly paranoid practice which keeps Worldwound fortresses free of succubi.
But mainly it is to set a good example for Mariona. See, Estha is willing to consider that his memories may have been altered! He does not find it too distressing to think about, or a loss of pride to discuss with her; and above all, he does not consider the possibility to constitute himself losing, and Mariona winning, in some game between himself and Mariona. All of this implicit statement is a lie, of course, but a helpful one.
Esta has a guess, now, though only a guess, about what the victory condition of the Y̷̼̚o̷̪͒g̵͚̋-̴͕͠S̸͚̀ǫ̵͆t̸̥̾h̵̺̋o̴̜̕t̴͚͝ĥ̵̟'s game would obviously be -- if It has troubled to make Its game winnable at all, as may not be remotely in Its own nature.