Mags canonly lived in India for a few years so he's had what others might consider obscenely hot food. He tends towards not this hot but occasionally he like to set his tongue on fire. So more bonding with the geekling.

He'd have let her. Especially with Finnick, anything that could tempt him to eat (and give Annie something to focus on other than him)

It really is, and it's part of why he's doing it. That capsicum can also be used as a weapon needs to be mocked by SOMEONE though.