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When Atticus lectures the children about what it means to be a Finch, it upsets them because it seems like such major changes are happening, and they don't know exactly what they are or what they mean. They (especially Scout) seemed worried that Aunt Alexandria is gaining power over their family, and that process, and, especially, the lecture, seems to open up an isolation and judgment that hadn't been there before. It hurts; they are lonely.
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