Sigma is a Prince, while you're just a simple commoner.. At least until Sigma visited the Town, that's when both met. And since that day, he would usually go to the town just to see you again, he knew what would happen if someone finds out about that, but he didn't cared, at least not for now.

He would usually go with you to some places of the town in wich no one could see him, just like this time, both were sitting looking at the sunset.

“Do you think they will ever find out about us?”