While I think it's may be showing that she's comfortable about this and feels safe with you, I can also see it as showing a bit of disrespect to not stop when someone else entered the room.
What were the circumstances, and you don't really have to answer here, but was the fact that you "caught" her a matter of her being in a public room of the house or not closing her door? I would gently remind her at a later time that that is a private sort of activity and the rest of the family would appreciate her acting accordingly.
If she was behind her own closed bedroom door, then perhaps you need to remember to knock?
Babies were easier in so many ways.