Paladin Bael is a worthy fighter, but he has not yet mastered the fine art of conversation, a shortfall that almost led to an altercation with a Megaton resident. Still, his commanding presence ensures that undesirables stay well away from the entrance gates.
You will be redirected to him at the entrance if you attempt to talk to the Knight stationed at the other side of the entrance with the sentry bot.
After downloading Broken Steel, Paladin Bael will disappear once the Take it Back! quest is completed, implying that he could have been sent to the front lines to help with the Brotherhood's war with the Enclave.
After you say "I have to go now," he might say either, "Steel be with you," or "Of course." He uses a generic voice, not of his own, for the latter quote.