You didn't do anything rude, her comment "would you excuse me for a minute" may have meant something like "sorry to keep you waiting", not necessarily that you should have left of the room. However I agree with GrimmRomance and markko that some people would expect you to leave the room while they make their phone call, but you can't be sure of that and as Grimm said she couldn't expect you to read her mind, so finally you didn't do anything wrong, but if it happens again you could just ask the person if he/she wants you to leave the room, so this way you will be sure and avoid worrying about it.
And about asking if she was done, I don't see anything wrong with that either, if she had been in the middle of her conversation on the phone then yeah it would have been rude, but she seemed to be done and you just wanted to make sure that she was done so it was polite of you to ask. I think this kind of situation can be confusing sometimes, it depends on the other person, I have been in situations where I asked just as you did, to be sure I could now talk and the person was ready, and on the other hand I have been in a situation where I waited for the person to talk/let me know she was done and then realised the person was waiting for me to talk as well, getting impatient towards me even LOL, so you never know for sure.
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That's the way things come clear. All of a sudden. And then you realize how obvious they've been all along. ~Madeleine L'Engle