As some initial background:
My child (14yo girl) has some issues being treated by medication, a psychiatrist, and my love and support, so she is highly-unlikely to be representative of your children. She does, however, ask me in the few instances where she does something incorrect, "Are you mad at me?"
Now, in her case, I take the question as something she wants to avoid: me being mad at her.
In your case, they are asking the opposite -- something they want to have: you being happy with them.
While it may seem a trivial thing to point out, I find it actually wonderful they are seeking a good thing as opposed to avoiding a bad thing -- that's a positive fundamental mindset!
Now on to the heart of your question. They want something. Want it desperately. And they fear they may have denied themselves something they want.
You, too, want something -- well behaved people who integrate well into "society" (i.e. work well with others). You are simply doing what you ought in that regard.
Now, the question comes about, "How can this be balanced?"
I have always been a fan of the truth expressed in terms the other person is most likely to "accept" and that's what I'd advise here.
- Give the good first. You are happy with them, the person.
- Give the constructive feedback second. They can be happy with themselves if they treat everyone "right".
To that end, I suggest something along these lines:
Happy with you? I love you very much and am so happy that I get to be your parent. We all have things to learn and remember to be better people and I know you want to do that too, right? So let's place nice, be friendly, and then we can all be happy!
(NOTE: I expressly did not use the word "but" in that phrasing b/c it is perceived as a negation of anything prior.)
Now, after such an approach, if you still find they are intriguingly seeking an answer to this question, I would talk to the child outside of a contentious issue in a chatty manner. Then I would point out that they ask that a lot and that because I care would like to know if there is something they are worried about and would like to ask me about.
Doing that will take the issue out of the immediate and open the door for them to communicate with you about whatever (possibly-unrelated) issues they have been considering.
Finally, they simply may not be aware of the fact that they repeat the question (like someone who uses "like" every other word in their speech.) The only way to know is to ask when nothing else is part of the conversation (like that mini-battle with Timmy!)