There isn't always such an expectation, and you are probably misreading some of your fiancee's signals in assuming a true social convention here. Incidents in specific relationships aren't necessarily microcosms of social expectations.
Upfront I will state plainly that I do not know your fiancee, or any generic person this answer might be applied to, and so any ideas I have here (useful or not) should not be expected to be accurate descriptions of their personal psychology. It's also fundamentally difficult to answer "why" questions about human behavior in an accurate way. Many people probably have no meaningful conception of why they want things. People are also unique, and are not good exemplars of broad social convention in all cases.
With those in mind, I intend my answer to be viewed as perspectives that might help you to deal with these situations, not prescriptions of how people behave or why. So, take the following with a grain of salt, it is definitely not definitive or comprehensive.
Introspection is difficult, and it's also difficult to properly get a sense of another person's mind and thought processes. It seems to me to be universal that people have a basic assumption that their thought processes, values, and perspectives are "normal" ones and are shared by most other people, absent obvious signals otherwise.
If it's a question of what genres of movies you each like it's pretty easy to gauge after a while, and you can probably predict what types of films you each might prefer. But when it comes to an issue like the one in the question, like how and when specific emotions are expressed to the other person, it's much harder to get an overarching conception of other peoples' preferences and needs. In those cases it seems common (in my observation) for people to presume that other people are basically similar to ones' self. I think of it as similar to the idea of an unmarked category-- the "default" is steeped in assumptions (examined or otherwise), and deviations are inherently odd.
This seems less like a social convention to me as it does an element of individual interactions, but the dividing line isn't especially clear to me. Some people want and need support/validation/reassurance about various things at various times, and hope or expect that a person they are close to will provide those things. If you've ever had a friend go through a rough breakup, for example, there is a clear expectation that if your friend describes a complaint about their ex you will acknowledge the complaint and agree.
Other examples may include things like call-and-response routines developed over time (if there is a history that when your fiancee says A, you respond with B, she may expect that response as a matter of habit, and be upset or wrong-footed if she says A and you do not respond accordingly). That's more of a behavioral pattern than a true alignment of thought, but I'm sure that different people regard this sort of thing differently.
It can also be the case that a response is expected and the other person will feel devalued without it. When you spend a lot of time thinking about a gift for someone and choose something you think they will like, you expect a positive reaction when that person receives the gift. If, instead, they look blankly at the gift and then set it aside without comment, it suggests that you were mistaken in thinking that it was a good gift. In a case like this the prescribed type of reaction is really about acknowledging the effort of the other person, not an actual alignment of feelings.
This one has lots of manifestations, but people seem to do a lot of categorization of things and then try to apply those categories. Consider a broad case like political sentiment today: there are pretty clear sets of views that divide people into broader political factions (think Democrat vs. Republican in the U.S., or pro-Brexit and anti-Brexit in the U.K., as examples).
In a lot of cases people might see something they view as an indicator of membership in a given group, then assume (loosely or specifically) that other group characteristics are also present in the individual. It's not about alignment with the other person, it's about assumptions the other person has made. And people generally like to think that their conclusions are correct (they can identify the right information, think about it in the right way, and extrapolate the right things), so they are expecting their own thought process to be validated and the signals they (think they) have noticed to be good guides to the world.
4. Anything else
Humans are complicated and weird, and I generally feel that if you've come to a conclusion about a question like "why" about their behavior you're being overly reductive. There may well be functionally infinite individual motivations people might have, and your capacity for gaining and properly interpreting the information will be limited in most cases. Further, someone having an expectation of a specific response is not the same as that person understanding why they want it.
All of which is to say that appreciating that someone expects a response and having some sense of what response they are expecting is, in my view, infinitely more valuable than knowing why they might want it. "Why" is usually a very interesting question, but I feel it's almost never a very practical one.