I am guessing that Rollo is probably an orphan (just like Mao) or a clone who nobody cares. I believe he really yearns family. That's why he really protect that locket since it is probably the first time someone gave him a birthday present. That will ikely become the reason why he will help Lelouch in the end considering that Lulu (in the past one tear) is probably the first person who "cares" for him.
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