It's not so much that Madge is concerned about how Gale feels about her. She knows how it is with them – she knows that he only chose her because he didn't have much else choice. Katniss was gone, probably going to die soon, and she was the one that was left. And Madge knows that she only chose him because he was so forbidden and enticing and completely foreign to anything she was used to. She knows that whatever they have, whatever draws them together late at night when no one is watching, it's not love. It doesn't even resemble love because in the daylight, they don't make eye contact and they never – ever, ever, ever – speak.
She thinks maybe they have nothing to do with each other because they're ashamed. When she thinks this, she vows she won't let it happen again, because her throat closes up and she finds it hard to breathe. But when he taps on her window that night, she can't just lock him out. She never locks him out. Then Madge wonders if it's maybe because he's still holding out hope that Katniss will return and he doesn't want anyone to tell her about him and Madge – so he figures that this affair (or whatever it is) will be easier to hide from Katniss if no one else knows. Sometimes, when Madge looks in his eyes, she can tell he does care about her a little bit at least, and so maybe he's actually protecting her reputation.
She has to sort these things out for herself in her head, because her mother is so ill, and her best friend is in the arena, and her father would castrate Gale if he found out. And refuses to ask Gale why they avoid each other so entirely in the daylight yet can't stay away from each other once the sun sets. Her thoughts tend to go in loops and she finds that, more often than not, if she thinks too terribly hard about it, she begins to cry from the confusion of it all.
She convinces herself he doesn't care about him. She is only using him the same way he is using her. And so she removes herself entirely from the situation and she finds that she's happier, at least for a little while. But one night, when he thinks she is sleeping, he's tracing his fingers gently over her arms and stomach and face, and then it's his lips, just barely ghosting over the surface of her skin. She struggles to keep her eyes closed because what is he doing? And then he leans into her ear and whispers so softly, she's not sure she heard correctly.
Later, when his breaths have evened out and she looks at him through her eyelashes, just turning her head towards him, she's sure of it. It makes her happy and she reaches out for his head, before she whispers, "I love you too."
