There's a sadness that came to Anna as well upon discovery she was a Spirit, and couldn't physically interact with the living. She could talk to them of course, but to not be able to touch seemed like a cruel fate. She could, of course, go back home again eventually, according to Jack. And while it was true she'd briefly died once, she'd been brought back to life, so she'd be living again when she returned home. This knowledge kept her at least somewhat positive. It's an Anna trait, to stay hopeful in the worst of situations.

She hears the crying before she sees Asriel, but searches for the source of the noise. Once he's found, she'll float closer to him, hesitating only out of fear he may be scared by her and run away.

"What's wrong?" There is a rather obvious answer here of course, she knows, but she doesn't really want to presume anything.