The first look Mike gave him wasn't even about his own ego, it was just Mike processing that Schaub really just told him he thinks "that technically, Fury is the greatest boxer we've ever had/seen". And then realising Schuab was serious.
And then later, he looked pissed that maybe Schaub was dissing him to his face- pride came into it.
I'm a Fury fan but saying he's technically the greatest heavyweight boxer of all time- hmmm no. You CAN try to make the argument that his combination of sheer size, footwork, ring smarts & technical ability is a hard enough combo for any heavyweight to come up against. But if that was his intent, he garbled it.