In short, C.C. felt sorry for him. She too has extensive experience with being alone, and seeing a pathetic little boy, she took pity on him. Her relationship with him in the flashbacks seemed more like an older sister, or even pushing it, a mother. But with Lulu, they are a lot closer than Mao and she ever were. Their relationship has a very intimate light cast on it, no matter how much either of them denies it. They know all each other's secrets. The point is that Mao knows the secrets of everyone else, but he can never know C.C., especially the way Lulu already does after the Suzaku Brain Melt incident.
@Kraco: It's not the amnesia itself, but her apparent total personality change. Viletta's past appearances did not cast her in a light that would imply she'd be overly embarrassed about being seen naked, or at least, her reaction would be VERY different (like shooting Ougi in the face). She's turned meek, and lacks the scheming confidence she exuded when she confronted Shirley and right before she was shot. Innocence, I guess would be the way I would describe it. That's why I'm convinced, for the time being anyway, that she's not faking.