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?

B-but you said it best! Shion adores Mau and sees him as an immensely mature person. As you said, he is both someone she feels like she can reach out to, and get comforted by. There's so much love and trust there, which is both unlike a standard family and very family.

How does Mau feel about being one of the oldest remaining Sapphires?

It's weird for him! He doesn't feel like he's been in Aather all that long (except when he feels like he's been there forever), so it really feels like a fast turnover to him. And he also has issues about being the only one who remembers anything. So he ends up feeling much lonelier about it than there's really any call for. But it isn't something he spends a lot of time thinking about. There's so much other stuff to worry about! But definitely when Hakkai comes back you'll get to see how it affects him, if only because you'll get to see him break down out of relief and happiness.

How are Shion and Roxas doing with the move and so on?