If she's saying your doing everything right but its not in her to reciprocate then validate her feelings by telling her that its ok if she doesn't feel like reciprocating, but that you would like for her to respect the fact that your still married, and that your still living under the same roof and b/c of that some common decency is expected...and that doesn't include coming in at 6 am no matter who she is with.
And as far as what you should say.....unless she brings it up I think you should say nothing. I would think that since you didnt bring it up in the moment that its bad to rehash and that you should wait to see if she repeats the behavior and if she does then you'll be ready with what your response to it will be. If she brings it back up and your forced into the conversation then explain very clearly and respectfully how you feel about her staying out all night, thats its disrespectful of you and your marriage and then shut up.
That's exactly how it's done.