As direct as he was, I don't know how Valerie wouldn't be confused. Even if what he's saying seems clear cut, their circumstances are not. She still thinks Serenia and him are an item and that she was brought in as the show wife. So with him confessing its like, what about Serenia? Are you saying you love me and her? Do you mean you love me like family? Are you saying you love me to convince me to stay in this engagement so you can continue on with Serenia? Or maybe you are practicing some more so you know how to say it to Serenia?
I can totally see Valerie spinning off into that train of thought. Up to now, she hasn't really recognized his acts of affection for her or she's misunderstood it as somehow relating to Serenia. For her, his confession will seem out of place so I think while she may initially be flustered by it, she's more likely to be skeptical than touched. However, I'm hoping that this will lead her to being more aware of him and his affection in the future.
Also like others have mentioned, I'm not even really sure if Kylus truly is in love with her. I definitely think he's interested in her and cares for her and wants to be a proper partner. That said it's not really clear on how much is his own affection and how much is him doing what he thinks he should based on what the romance novels say. Mind you I also think he's the type to fall for someone and not realize it himself. I wish we could see more from his perspective.