I think Julius must admire Roel a lot. He was touchy about Roel's death and happened to name his very black horse Snowy, the same as Roel's white horse At first I just thought it was the author's way of showing how in sync he and the FL were, but it may also not have been a coincidence. Knowing Julius' simple character, he probably feels bad for how he and his demon assistant used her to investigate the Epheria household and were initially dubious about her efforts to meet the high priest. I mean the whole reason Roel proposed an engagement was so they would allow her to meet the high priest in the first place. I think the gender misunderstanding is probably the weakest motivation behind his dramatic exit. But we won't find out for sure until season 2...le sigh