My guess is Rollo couldn't push himself to pull the trigger all the way. He still thinks of Lulu as a brother and that could be his weakness. Lulu convinces Rollo that in exchange for being able to play Lulu's otouto, he'll continue to hold bday parties for Rollo and they'll continue with the pretense and so Rollo secretly switches sides. (Maybe Lulu will even give him a sob story about Nunnally to justify his actions as Zero.)
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Re: There