Despite it not being the first time... i think this chapter is the one that shows Klaus's adamant conviction.
He was carrying Leo as he is scaled a tall building and had to concentrate in maintaining his technique that has properties that make it very dificult, and avoidng triggering the alarm that would blast interdimensional lighting on him and Leo at a hair's breath... and i have no doubt if that happened he would with any hint of hesitation protect Leo with his life... and still keep climbing that wall.