I think I understand why she is so... Clueless..? The main problem would be she knows everything. She is very well aware of the danger, when she entered the palace. Yet she is also... In fangirl mode? She knows that to avoid being killed she needs to stay out of Cesars way and foster a good relationship with him. She also is aware that Gracie Lancaster is his wife with whom he spent his entire life in the novel and she digs it. She believes in their love, that's why she can't comprehend the idea of Cesar loving her. To sum up she has one goal: good relationship (in order not to die). She supports him and wants his happiness, while truly believing only Gracie can provide that. Because of this she doesn't accept her own feelings and his.