Ok. Bro gets a pass on typical MC denseness after a fujoshi sperg dump like that + saying she ships him with his friend.
She explicitly says she distinguishes reality from fiction and doesn't
actually ship them. It's more she puts on the shipping goggles so she can use the MC and his friend as a reference point. And frankly I commend her for wanting to write BL that doesn't make one or both of the guys a girl in all but anatomy. I personally do not like and actively avoid BL, but I commend the dedication to wanting her writing to feel "real."
But moreover his denseness comes from 1) her stated lack of interest in romance- which yeah she makes a
pretty convincing case right here- and 2) the fact that she's a succubus who even without the sex demon allure is naturally attractive and sociable to the point of drawing people in like gravity. So for a gloomy pessimist like him, the idea that she might be into him feels like pure arrogance if not delusion on his part.
Hell, that succubus that almost assaulted the MC did so out of jealousy towards the FMC, because the FMC could have just about any guy she wants if she were so inclined. But she not only refuses, she manages to still be beautiful and strong (in terms of succubus prowess) despite not feeding. Like some dude managing to have and keep a six-pack despite only occasionally working out and putting no effort into his diet.