I am not a native English speaker and have been studying English. I was watching "Casual", and I didn't understand what they were talking about.
Alex asked Leon to have sex with two women. However, he kicked them out and he was in the living room. One girl came and talked to him, and they talked about Leon.
ALEX: Doing really well in there.
EMMY: He's doing very well.
ALEX: Not self-conscious at all.
EMMY: No, that's a big part of it.
I don't understand who is "Not self-conscious at all." and what the meaning is of "that's a big part of it" in this conversation. It might be a very strange question. However, please help me to improve my English skills and kindly inform me. Thank you in advance.