Framton looks at Vera in this way because Vera has told him, before her aunt enters, that Mrs. Sappleton's husband and brothers actually died in a hunting accident and that she has never been able to get over her grief and constantly expects them back. This is why the narrator describes Framton's actions to Vera:
Framton shivered slightly and turned towards the niece with a look intended to convey sympathetic comprehension. The child was staring out through the open window with dazed horror in her eyes. In a chill shock of nameless fear Framton swung round in his seat and looked in the same direction.
Framton turns towards Vera with "sympathetic comprehension" in his face because he wants to register with her that he understands that this is just Mrs. Sappleton's grief as she talks about her husband and brothers. What he is not expecting, however, is Vera's own look of "dazed horror" as she gazes out of the open window. It is only at the end of the story that the reader understands how Vera has cruelly created a fabrication in order to trick the impressionable Framton for her own amusement.