To be honest, Utena thinks that she's kind of nuts. After all, the first time she saw her was the duel with Archer, and between putting Whitney in a headlock and the whole emperor thing, she's not sure what to make of her. Despite that, though, Utena has a strong (if grudging) respect for her. For Saber has mastered the grand art of Not Giving a Fuck, which has given her a sort of boldness and confidence that Utena's never seen before. Plus, after the emotional manipulation she went through back in Ohtori, I think it might be sort of encouraging to see a woman with Saber's devil-may-care attitude. I don't think Utena realizes this consciously, but it does strengthen the respect she has for her.