Caim had two problems when he heard the pleas of Kay. One problem was he wanted to go talk to Kay and he felt Contessa's presence. He couldn't exactly do that in front of her. The other problem was he would be entering Contessa's home and fucking with Contessa which both and Kay and Caim had already spoken on. He told Kay that he didn't give a fuck about crossing her as long as it was for someone/something worth while, meaning Kay had to start or more like stop being an ass and just fucking cooperate a little more with actually trying to get to know him and uniting their purposes... meaning Kay helping with Caim's purposes. And Kay never did step up and do more than what was asked of him in the original deal for Chess over Minzy and Evron. And even then he skimmed the edges of the deal getting away with sending a lot of photos and not really spending much time with Caim at all. So Caim hadn't really grown any great attachments there. Caim did things a little different than some demons and his circle was small but he trusted those in it. Period. You were either in or you were out.