The first convict shows his appreciation for Pip's loyalty by making sure the boy is not suspected of helping him in his escape. After he is captured, the convict turns to the sergeant and says,
"I wish to say something respecting this escape. It may prevent some persons laying under suspicion alonger me".
He then declares before all present that he "took some wittles, up at the willage over yonder...from the blacksmith's". He then goes on to turn to Joe and apologizes, telling him, "I'm sorry to say, I've eat your pie".
Pip had, in fact, taken the pie, as well as some other food items and a file, to the convict out on the marshes. When the soliders had come to the house in pursuit of the escapee, he had been terrified that it should be discovered that he had aided the criminal in his escape. In an unexpected demonstration of sensitivity after his capture, the convict shows his appreciation for Pip's loyalty in providing for him by taking the blame for the theft completely on himself. In this way, he ensures that Pip will not get in trouble for helping him (Chapter 5).
In Chapter Five of Great Expectations, the first convict shows his appreciation to Pip in two ways. First of all, the convict does not acknowledge that he knows Pip. In fact, he only looks at Pip once during this scene. This is significant because if anybody knew that Pip had helped a convict, he would be in trouble, not only with his family but also with the authorities.
Secondly, the convict shows his appreciation by not confessing Pip's role in stealing food from Joe's house. Instead, the convict takes responsibility for the theft of these items and then apologizes directly to Joe:
"Than I’m sorry to say, I’ve eat your pie."
Once again, the convict protects Pip by taking sole responsibility for their shared actions. This suggests that the convict is not quite as violent and unruly as Pip (and the reader) might first have thought and hints that there may be more to his story.