Kou Shuurei and Rou Ensei meet at episode 8, when Shuurei sees him collapsed in front of her house
from heat stroke. Without any second thoughts, Shuurei brings her into the house and takes care
of him. It turns out that he is an old friend of Seiran, who Ensei calls "Little Whirlwind". We later
find out that Ensei is the temporary governer of the Sa province, and actually went to the Capital
to seek the Emperor's approval for his position.
Their friendship deepens as the series progresses, and Rou Ensei shows a deep admiration for Shuurei's determination in passing the Imperial exams and becoming the first female government official. He also shows a lot of concern for her and tries to cheer her up whenever he can. You can say that Ensei is quite fond of Shuurei. Whether as a little sister or as more is debatable.
When Shuurei's dream finally comes into fruition, she is appointed as the governer of the Sa province. Because of the problematic political situation in the Sa province, Shuurei's journey to the province was a dangerous one, as everyone plotted to prevent her from reaching her destination on time. Rou Ensei, along with Seiran, do all they could to keep her and co-governer Eigetsu safe. We clearly see Ensei's loyalty for the two governers.
In season 2, there are hints peppered here and there that Ensei does love Shuurei more than just a friend but nothing is obvious. On Shuurei's end, it seems that she only regards Ensei as a bigger brother or a trusted comrade.
Regardless, it is their loyalty and respect towards each other that make their relationship a truly admirable one. It is the type of relationship where one is willing to get hurt for the other... A relationship where one is willing to walk blindfold with the other without fear.