Asra, as any father does, absolutely adores his baby girl and dotes on her endlessly (when he isn't training her to be a killing machine). So when he came by to visit, imagine his surprise when he saw some little shit in bed with his baby. He was not pleased.
Poor North here just happens to have been caught by Desert's father and wants very much to run but knows Sphinx's love a chase, so he remains still. Desert sleeps on, completely unaware of her friend/bodyguards distress.
As for why they are sleeping together, Desert has had a hard time adjusting to living in Equestria since moving in with her mother. While she has learned how to get around during the day, nights are hard since shes used to sleeping light to avoid being attacked. To help her rest, North Wind is there to keep her safe so she can sleep soundly.