Considering Rosalina's past and her role as caretaker of the Lumas, I see her resenting Ridley for his elitist attitude and violent tendencies against other creatures of the galaxy. I also see her as as the "Cosmic Witch", not some cosmic goddess, so Ridley may not be afraid to go after her if she attempted anything against him.
Palutena on the other hand is an actual goddess. Being in that position tends to bring a different perspective on the ever moving progression of time and events. Henceforth while she doesn't approve of Ridley's behavior and violent tendencies, she could admire his pride
(kind of how Bulma saw Vegeta) and tenacity (even to the brink of death). Finally, Ridley respects beings with power, so he pretty much can't dislike a goddess, however human she may look. He can't take her down, she finds him amusing. He can't stand that he's somewhat fond of her, and she knows it and teases him for it.