Chester will sit and shake by the pet door like he's ready to make his getaway. Don't know why as he's virtually never been punished

Millie has absolutely no idea that she's done anything wrong, and if you do punish her she doesn't know (or care) that she's being punished!

My Westie (RB) used to greet me at the door panting when he'd done something wrong. Then he'd go to his room.