When an Aalim is asked a question it’s befitting that the student of knowledge attentively listens to him and correctly understands the answer. Some students, if they ask a question and are answered, you find him shy to say, “I don’t understand”.

That which is better for a student of knowledge if he doesn’t understand is to say “I don’t understand”, and he should say it respectfully and with good manner towards the scholar. 

Sharh Kitab al-Ilm pg 242