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That's not exactly possible, since Wilhelmina told to Yuuji that Shana even agreed about "killing the host will put the Reiji Maigo in a safer place"
Basically, as a Flame haze, Shana doesn't gain anything to protect Yuuji, especially if Wilhelmina was the one who wanted to finish him off.
He obviously knows their bound, especially when he was expecting a kiss after Sorath&Tiriel arc.
The scripters are just jumping back and forth with "yuuji's denseness", but really, he actually have doubts about her feelings.
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