Don't forget, we don't have any context at all for how Mycroft is connected to Magnussen, because we know absolutely nothing about Magnussen yet. Which is fine, that's how it should be. :) But delving into the realm of theory...
Magnussen is based of Milverton in the ACD stories, who was a blackmailer. Maybe Mycroft is so much as pissed as he is being coerced.
His Last Vow is based more upon The Adventure of Charles Augustus Milverton than His Last Bow, but there is a double-agent spy (not Holmes this time) and Holmes tells Watson that an east wind is coming (not the Germans this time).
To answer the original post, Mycroft is upset because he finds Magnussen's knowledge of pressure points useful at times. Sherlock is repulsed by blackmail, but Mycroft has no qualms about paying Magnussen for information - the ends justify the means.
Mycroft isn't upset in my opinon. He's just displaying an "I told you so" expression to Sherlock. "I told you so" because Sherlock has invested feelings to the Watson family and that he has no choice but to execute their plan B (hint: re-watch the scene in the Holmes family home). Plan B includes not being able to see his friends again, I think.
The fact that there's a plan B proves that Mycroft actually anticipated Sherlock's plans. Or, they may have planned this together before (after Mycroft's visit to Sherlock's flat, probably).