No law that I know of that says an LEO must contact a supervisor to come to the scene upon request. However, most upper administration would expect a first line road supervisor to respond to a scene so long as they weren't on something of greater importance.
I think there is nothing wrong with that question. There is no "Constitutional carry" in Indiana. So most LEOs are at least going to go and speak with the person. Asking the question may provide answers to the original complainant. If I was an LEO working the event, I would just like to know if there is a possibility of a special consideration at the event I'm working at. "I carry for personal protection." is different than "Well, my wife here, we just found out her ex just go out of the county jail. His family is big into 4H, and the reason he went to jail was due to a brutal attack on my wife, so I decided that maybe if we ran into him and he saw off the bat I was armed, that he wouldn't try to instigate any trouble." The question is valid, a simple response of "For protection" should suffice. I guess if one wants to look silly, they could give a silly, witty response.
Nothing wrong with an officer approaching and talking to people... whether they are OC'ing or not and your example is a good reason why (just like if you saw someone with a black eye) or heck even if you just want to be sociable.
Without us being there it is not possible for us to truly know the "tone" in which the OP was approached. Obviously we are assuming it was in a negative one.