Setsuna's aiming for Nena during his battle against the Thrones was, honestly, nothing more than sound strategic targeting--Nena was not only the weakest of the three Thrones, having limited weaponry, but also a support craft for the other two combat-oriented Thrones. Taking out her means the Thrones lose a valuable support, as if the Zwei was needed to power the Eins' cannon, it can't fight against the Exia and whatever allies that may have shown up.
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