Responses
Because he cannot feel emotions due to the cruel way of upbringing in the Agriche family. Dion killed many people since a young age and his mother never paid attention to him, so he grew up being an empty shell. So when Roxana cried for Asil is the first time he felt emotion. He wanted her to cry for him so he could fill up his emptiness. He wants someone to care for him the way Roxana and her mom does for Asil. He does not have any romantic feelings for her.
The fact that Fontaine and Dion see Roxanna in that way- *shivers* gross