Shen Zhao only did one thing in his life - to go through fire and water for Zhao Heng. From the moment he was rescued at the age of 8, his life revolved around Zhao Heng. He is the kind of person who "gives without expecting anything in return without any sacrifice" - not because he thinks sacrifice is insignificant, but because he never thinks of it as a sacrifice. He was just doing what he felt he should do.
Zhao Heng was promoted to the throne by Shen Zhao. His empire was earned by Shen Zhao with his life. This "sense of indebtedness" is the most deadly poison in the relationship between the two - the more he cares about Shen Zhao, the less he can face him as an equal. He loves Shen Zhao, but this love is mixed with dependence, gratitude, and guilt, but lacks relaxation. And it was precisely this heaviness that made him subconsciously run away to those who did not need him to owe anything - those women in the harem, whose tenderness did not require him to repay with his country.