Well it has already been established that she has trouble showing emotion. And she did defend him with her own body a few seconds later. She really cares about him, it just... doesn't show in the conventional way, I guess. XD
Oh, also, people have been taking note of the lilies in the OP... I'm assuming there's some symbolism there that I'm missing?
EDIT: One Google later... lily = yuri. I get it now.
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