The growing bond between Laharl and Sicily has several moments that are rather sweet (all of them are spoilers):
Chapter 4: After finding out that Lanzarote's music made Sicily happy, Laharl assigns her to be Sicily's caretaker.
Chapter 7: Laharl says that Sicily should be mad at him, to keep her from being angry at their mother. She joyfully says that she's not going to hate anyone, and proceeds to attempt to glomp him.
Prior to that, Laharl and Flonne calling out Archangel Virunga for wanting to take Sicily back, which doubles as an Awesome Moment. Virunga thinks it's only right that Sicily return to Celestia as she is still an angel even if she is a Demon Angel and extend his hand to her to return. Laharl slaps away the hand and he and Flonne call him out for only thinking of Sicily's race, telling him that he should have realized that Sicily's loneliness in Celestia was the reason why she came to the Netherworld in the first place. And just to drive it in further, Laharl calls out Virunga for claiming his actions in the name of love and that, in the end, a Fallen Angel like Flonne is far superior to him.
Chapter 8: Laharl actually starts to refer to her as his little sister.
And he apparently promised her that either of them couldn't sleep, they'd sleep together (though he denies it).
Chapter 10: Sicily offers her life to make sure that Laharl doesn't get hurt in that battle against Xenolith. After saying that she reminds him of their mother he gives her this line:
Laharl: " Believe in the power of the Overlo-! Believe in your big brother."
Flonne being one of the characters to truly show Sicily kindness from the start. To the point where in a later conversation, Sicily ends up calling Flonne "Mom". This is especially heartwarming considering that, in the first game, Flonne has often been compared to Laharl's Mom, making her something of a Parental Substitute for Sicily.