Sadly, Sephiroth and admitting friendships with anyone is a rather large wall to climb. It doesn't mean they aren't friends, only he prefers to keep most people at arms length due self-preservation.

She's probably helping him get over his reservations about women in the military though, and putting up adequate sparring-matches too. He wouldn't use his Combat Mode in a spar though; the cost is too high.

Still...he's now able to wield Masamune again, so there is epic too-long swordplay going on.