It means Lady Mary knows what she's about.

Henry: Oh, I'll tell you who was talking about you the other day. Evelyn Napier.
Mary: Oh, how is he?
Henry: He's well. Still single, of course, and, I suspect, still pining for you.
Mary: He will pine in vain, but I'm very fond of him.
Henry: La Belle Dame sans Merci. (The beautiful woman without mercy.)
Tom: What does that mean?
Henry: It means Lady Mary knows what she's about.


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Episode:
Downton Abbey Season 6 Episode 5: "605"
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Downton Abbey
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Downton Abbey Season 6 Episode 5 Quotes, Downton Abbey Quotes
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Downton Abbey Season 6 Episode 5 Quotes

Anna: Bad harvest, bad harvest.
Bates: What does that mean?
Anna: In the old days, when the crop was good, the farmers used to shout "Bad harvest!" so the gods wouldn't grow jealous of their luck and destroy them.
Bates (shouts): Bad harvest!
Anna: That ought to do it.

Robert: You'll be in a very junior seat.
Violet: Il faut reculer pour mieux sauter. (You have to step back to jump further.)

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  2. It means Lady Mary knows what she's about.