The correct option is C I was quite displeased at his rude behaviour.
A preposition is a word which shows the relation of a noun or pronoun to another word in a sentence. On the other hand, a gerund is a verb which acts like a noun and a noun refers to the word which can be a name of any person, animal or thing.
Here, option C is correct. In order to combine sentences preposition should be followed by noun or gerund. In this sentence, 'at' is a preposition followed by 'behaviour' a noun, thereby retaining the true meaning of the sentence.
Option A has conjunction in it. So, it is incorrect.
Option B id not correct in terms of meaning, it is expressing. So, it is incorrect.
Option D has conjunction in it, which is not needed. So, it is incorrect.