Despite the obvious issues with this series writing (which was bad half of the time) and pacing, I’m trying to take a stake of why they had Kagura and Zessica save each others. This is my opinion, mind you.
First of, they aren’t romantically involved. Yeah, they were implied to be a potential pairing, but whether this develops or leads to nowhere (as Sanzaka/Malloy) is up to Kawamori. Friends or potential lovers, either way there is a message that they are good for each others.
The issue is that these two were trapped in different forms of destructive love. Although I do think Amata and other characters in this series could say the same thing, the writing was just poorly portraying this difference. I suppose that the main would be that Zessica and Kagura were unwilling pawns for Mykage who can only live in the ‘shadows of love’, using their feelings and feeding wrong fantasies for them. Now you’re asking yourselves: why characters who have similar issues be able to move on thanks to interaction?
Easy: The last episodes were making emphasis on opposites that united to right the wrongs. Man-woman, light-darkness, Vega-Altair etc. While Zessica and Kagura have a destructive love that is opposite:
Kagura's destructive love would see the world burn for a woman. If others were affected, he claimed he didn't care. And yet, he realized he couldn't reach her. Nothing he did matter. While he had some concerns for Mikono, it was mostly a too selfish kind of love. She was born to love him, to take him away from loneliness in his point of view. The focus was almost exclusively on him (although I don't blame Kagura for this, I'm just pointing out).
Meanwhile, Zessica's love was self-destructive, she wanted to die and kill herself for a man's sake. Her self-worth plummeted. Now she also had some small selfishness of wishing to be loved back, but it was too given without consideration of her own happiness. Episode 14 portrays this. Her concern is too much on the other. Too selfless, too suicidal without regard for her own life to someone who obviously was not going to pay attention to her sacrifice.
So they met when they symbolically hit rock bottom. They met and Kagura, who had never interacted with a girl before outside of his mom and “Sylvie”, finds someone who is willing to toss her life away for his other self without any reward. He, who could have saved Mikono by killing Zessica (while she was asking to be killed to end the gattai that had them prisoners for Amata’s sake, Mikono is also mentioned), decides it’s not worth it. He tells Zessica Amata isn’t worth her sacrifice, but there’s also an unspoken reason here: Killing her to save Mikono too isn’t worth it. The change is immediate in Zessica. Her confidence restores her outfit. Mykage can’t control them anymore.
Why? Because one impressed the other. Kagura was taken aback (since this was his first meaningful contact with a girl outside of ‘fated’ partner and his mom, it’s natural), but so is Zessica (because no one told her before her life was more important than Amata’s). This doesn’t mean they stopped loving “Sylvie” or Amata, but they eliminated the destructive element of their affection which allowed Zessica to have some self-love back and Kagura to be less selfish (it proves it in his willingness to help Amata and reproach him for making Zessica cry. Before Zess, he was self-adsorbed). They teased each other acknowledging their faults with their nicknames (although mistranslated by gg. Kagura’s nickname was poking fun to her wangst aka think “little miss weepy” only more crass. Zessica’s nickname poked fun to his KUSO ONNA by calling him “kuso otoko”).
Could this be better executed? Of course. The writing was terrible since the second half of the show began. However, did it make sense? A lot. It fit the series themes of opposites meeting and reacting. Kagura’s and Zessica’s views of love couldn’t be more opposites. In the end, they changed for the better, taking a little lesson from each other.
Bonus: Adding some random element to the Yin-Yang theory of symbolism. Kagura’s and Zessica’s hair-eye colors are complimentary. I’m sure is only a cosmetic coincidence, but still fun to add.