@Sh4dey
My thoughts exactly.
I suppose that given the MC is being kind to Lily and avoiding sexual fantasies, it may be suspicious not using a succubus for that purpose and to hide things.
Perhaps it'd look like he's trying to romance or befriend specifically her when this is simply her job Disregard this, it's clear MC and Lily are friendly with each other. But being kind to the boss too shouldn't falsify any motive she suspects. Assuming succubi are bound by physical laws, at least enough to not teleport or move through walls, it could lead them to getting captured and that would explain her apprehension. Anyway, fantasy shouldn't imply intention.
Now that I think about it. If he were to ask the boss for a sexual fantasy of Lily, that'd be rather strange.