Some context, Dante posed as a man when she was still under the alias Tony Redgrave and lived like that up until she reclaimed her real name, the ones who knew she was a woman took it to their graves. Past the first novel's events she no longer found the need to pose as a man any longer but was still often mistaken as one, this went on through dmc3's era (despite her... warddrobe choices) and still a couple years down the line, but she isn't hiding anything anymore

Nero, baby butch born and raised in conservative society that doesn't accept any deviations from the status quo, faced much opposition within her choices of living her truth. She pushed her way through the system with Credo's help, despite his initial disapproval of it, and maintained her spot in the Order

Years down the line, Nero quietly looks up to Dante as a role model, not just in combat but presentation as well. Neither of them ever breached the subject directly, it had stayed as a silent understanding between the two. That is until Nero was given Morrison's letter detailing Dante's life before his time, the subject of Tony Redgrave caught her attention and decides to confront Dante about it

Nero is searching something in the lieu of reconciliation, connection, and validation, hoping Dante's recounts of living as Tony Redgrave having some insight