Hi, in order for MC to feel a romantic connection to Vexx in Episode 9 you had to have chosen the following in order:
Episode 3
"We were more than friends."
Episode 5
"It wasn't your fault."
OR
"I need time to work through this."
Episode 9
"Speak to Vexx" >> "I'll be with you the whole time." >> "Acknowledge it."
If you've chosen those Episode 9 choices then they make it pretty clear that your MC is choosing to still have a romantic attachment to Vexx, if you haven't chosen them then feel free to post a screenshot here of the conversation you're referring to because it may be that you've encountered a bug/error.