TL;CR

TL;CR MEME
1. Comment with your character.
2. Receive comments from others.
3. Reply to their comments with long ballads and explanations of your characters' relationship throughout the game.
4. Endure everyone else reading your comment like the vultures they are.
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What was not to like about Miki? She was kind, smart, determined, and strong in her own way. Shess didn't expect to get particularly attached to her, since she was obviously very human and there would probably always be a bit of a barrier (also, it was weird sharing a house with her; he figured a teenage girl would not be comfortable with sleeping in the same space as an unknown guy, so). Then they revealed that partners' lives were bound to each other, and he just went, "oh, fuck."
So, he obviously had a very big investment in keeping her alive. The fact that she couldn't really fight was... worrying, but otherwise, he appreciated having a good and competent partner whom he could trust with things if need be. Though her seriousness was also kind of amusing, because Shess can be a shit at times (which is to say that he found the Minato thing funny, sorry Miki).
(He was sad after reading her journal and realizing how much she was struggling. He did wish that she had told him so he could've helped her somehow, even if he admittedly wouldn't... have been able to fully empathize with her guilt over killing people who needed to be killed... But he also fully understands why she didn't.)
They were probably never going to see eye-to-eye about the whole worrying thing, though... For one, it was very weird, because the only real reaction to Shess's kind are some combination of hate, fear, or the assumption that they'll be able to handle anything given that they're far more OP than humans, so he's not used to humans showing concern. The other thing is that strength is all that matters in his society, and as someone who was born weak, he had to claw his way to the top. So logically, he understands what Miki is trying to say (and a part of him appreciates it, because the reason he had to become independent was because no one cared about him), but irrationally, the entire point of becoming strong was to be beyond scorn or pity, so someone "weaker" being worried about him makes it feel like he did something wrong?
But, you know, he was never going to say that because wow that would get into awkward territory and Miki didn't need that.
Still, really, stop trying to fight people on his behalf. DO NOT FIGHT THE CLOWN, HE'S FINE. STOP. This is what he disliked about Hisoka, more than Hisoka's horniness or threats of breaking him or potentially screwing everyone else over. He did sort of view Miki as one of his "charges", so to speak, so he was especially protective of her. :/ No bothering Miki.
Except then she DIED so what did it matter!!
Anyway, while he doesn't know much about her home, he hopes that her wish made things better and then she gets to have a happier future now, possibly with Kaoru. Go and get your boyfriend, Miki.