What does Megatron mean by Starscream has his little pets?
Canon-wise, I think it was in Armada that Starscream befriended a few humans in between defecting and other plots. (It may have happened in other continuities as well )
Headcannon-wise, I've always pictured that, despite everything, Starscream is still a scientist/explorer first. When presented with a strange little planet and it's sentient life forms instead of writing them off with disgust he would be curious and want to observe them closer. It's not too far off to assume that he would eventually meet some acquaintances and later possibly become friends with them.
Megatrons comment about "Starscream's little pets" is a bit of a jab because despite Starscream thinking his visits with the humans are well hidden both Soundwave and Megatron know. (They allow to continue because Starscream is generally less backstabby afterwards)
Megatron's particular phrasing is because he can't appear to be going soft in front of his subordinates.
(not that soundwave can judge, everyone knows all of his shore-leave consists of hanging out with elephants and collecting loose children [Soundwave would argue that at least he waits until his designated leave time])