About the last audio drama, it's interesting how Nezu taught Gai to only follow something/someone if he deems it worthy enough. For a servant of Ramaga whose main role was preparing the prince to be a vessel, Nezu basically barred his master's influence from totally affecting Gai. He didn't force his student to do anything, and I assume he also hid from Ramaga Gai's lack of interest in conquering the human world.
In the anime, whenever Gai tells the other troopers about his upbringing, he always says "My father told me," , "That's what my father said," etc. He never pointed to Nezu, who was directly involved in his education. Saizo also asks Nezu why he doesn't just "make" Gai respect him, and Nezu is like "That's not how it works. Stop telling me how to teach my own student; you don't know anything," And he has every reason to think that about Saizo, since, Nezu used to be human, and he knows how Gai, another human, thinks.
So this audio drama adds to my belief that Nezu did have affection for Gai. Other Braves have commented on it, Nezu told Gai how proud he was of him before dying, and now this new info about his teachings to Gai since the boy was young.