I think that Nezumi always took Shion's words into his heart. Everything was important and Nezumi wanted to believe it. Just as they argue about hope, future and stupidy of flower festival, that Shion again shot stright to his heart to explain that such events are parts of people's freedom. He didn't show it in front of Shion but in next scene in theater we see that Nezumi sing song from festival. If he didn't care he wouldn't learn this one and sing it. It was like with third option. Nezumi laughed at it but still, he wanted to believe it.
He even remember Shion's dream (after drinking scene) about colorful stones at bottom of lake and he is somehow sad when he check it out in Beyond. It was just stupid dream and yet, Nezumi remember it.
That's why other side of Shion scared Nezumi so much. After what he gone thought in his live, Nezumi was enchanted by Shion's kindness, but it turned out that it wasn't so simple and as you said Shion was only human too.
They win fight in CF but in the end they lose their war, since they both ended up alone, broken and unhappy.