I had the chance to ask to a Japanese friend of mine who just said that 心配 is more focused on specific matters related to specific future events, health or bad feelings (e.g. “to be worried about the boyfriend getting home late” or “having the flu”) while 悩む haa a more general sense and is something that makes you think a lot (e.g. “どこに行くか悩む” > “I ask myself where to go” or “what to do”, “if I have to change my job” and so on)
I wonder that ギャル here is not worried because… She wakes up at home even if she got drunk the previous night? Not sure if I got why she is not worried, same goes for 恐竜
i think the 悩まない here is describing their attitudes to the objectively quite strange occurrence of waking up and having an unknown dinosaur in your room (from ギャル’s point of view) or suddenly now you live at this random human’s house (from 恐竜’s). neither of them acts at all like this is a very strange thing!