I think the reason Happy can open up more with Walter than with Toby is because they’re similar and can relate to each other more (as shown by 2x04). With Toby, he’s using his genius psychiatrist brain to analyze behavior and patterns that keep him ten steps ahead of Happy emotionally. That can be intimidating for Happy, who is opening up with Toby in ways she never has before.
Walter and Happy both view the world from a low EQ perspective and an outsider’s view of emotions. They’re discovering feelings that they’ve never had and evolving into more rounded people. When you’re sharing with someone who deals with the same challenges as you, honesty is a little easier. Because they understand in a way that you can only get from experience.
How about we open up next episode with both Toby and Walter sleeping on the floor, one on each side and Happy sprawled out like a starfish on the bed, Toby can be all “see, bet you didn’t know that about her?” hahaha