Let me try to convey, in as clear a manner as possible, why some of us find the transition from the end of Season 2 to the start of Season 3 jarring...
End of Shana Season 2
Sakai Yuji (looks lovingly at Shana): I just kicked Bal Masque's collective asses with the help of my hot girlfriend in the ultimate romantic coming together. What a rocking Christmas Eve! Time to celebrate!
Start of Shana Season 3 (i.e. right after the end of Shana 2, in-anime canon)
Sakai Yuji: Time for me to go Aizen-style! I'm going to enjoy leading Bal Masque from my badass throne! Forget Shana, I'm enjoying this power trip. Boo Yah!
Basically, it would have been nice to get at least
some inkling for what's causing Yuji's apparent and drastic change of heart.