The missing point is based entirely around what he's holding back with regards to Lelouch. But he loves you, like his very own sister, and looking after you will be the part of his duties as "Zero" that he will take the most personal pride in.
Perhaps unlike Lelouch, Suzaku does see Nunnally as a person -- a teenaged girl who will probably be bringing boys (or girls!) home very soon, even though she'll also always kind of represent this warm happy place inside that is the summer he spent with her and her brother when he was ten.
He thinks she is a wonderful, gentle person who deserves so much happiness, and extra ice cream after dinner.
Also she took very good care of him when he was tinified.