They do!

Mau adores Shion. Just being around her makes him more relaxed, and physical affection and verbal sympathy from her are both genuinely comforting. He also feels like he's able to support her, which is important. He thinks of her as a big sister, but they're probably to cute and sappy for that to be accurate. Regardless, she's a very important friend to him and someone he trusts to be able to take care of herself, which makes the fact that she lets him support her even more significant. He sees her as very smart and capable, and he thinks she knows he can handle himself, so everything they do for each other is just out of love and not necessity, and it means a lot to him.

Reverse?