Milly was in love with lelouch, it could be seen in an episode when she asked every student to take lelouch's heart hat and give it to her. She chose to act like cupid for shirley, but in the end she still was sad when lelouch and shirley exchanged hats, and said that she was actually being serious to get lelouch's hat. (I forgot what she actually said but it was clearly stated like that).
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