Alright, so i've decided to describe, as best as i can, my ideas of why each LI loves Orion for. I know, most are just now realizing they're into him, but still, i'd like to take a bit of an in depth look:
(Again, these are just my opinions, take it with a grain of salt)
Annie - Besides being Orion's oldest friend, and having a crush on him the longest, she sees him as her "knight in shining armor" always ready to defend her from any danger, and likes how he's willing to face danger to defend her and those he holds dear.
Dalia - She sees orion as someone who's there to encourage her not to give up (like in the gym competition) and to pick her up when she falls, she also likes his honorable side, like when he was willing to sacrifice himself to Thanatos just so that she wouldn't lose her items.
Penelope - She likes the fact Orion is into her, not because of her looks, but because of herself as a whole, he sees Penny's looks but also sees her abilities.
Luna - In the beginning she was skeptical, but now, she found in Orion someone who accepts her for who she is, with him she's not afraid to be herself. Orion Orion gave her the freedom she longed for after a lifetime of bullying.
Nova - Another that loves Orion because he accepted her as she is, despite having a lot of self-doubt and insecurity about herself, he likes her regardless. In him she sees not only an endless supply of compliments, but also truthfulness.
Alex - To me it comes do she liking the fact Orion doesn't like her for what most people would (her family's name and wealth, looks, abilities) but but for seeing past those things and seeing the true Alex: a lonely girl whom he rescued form underneath a pile of forced good manners and all that elite crap. She's free and not alone anymore, thanks to him.
Nancy - Now here's a complex one. I see 2 kinds of love for Orion: A "motherly love": Nancy basically helped raise him before he moved, and loved him like a son (still does), that evolved into something more when he came back. Now it became a "lovers love", she knows he ain't a kid anymore, she's been alone a long time, and Orion represents a breath of fresh air in her love life. She was afraid that giving into her desires would cause her to lose Orion again and this time forever, but it didn't.
To me she'll be an integral part in keeping the harem together, being the oldest and wisest of the bunch.
edit: added missing alex description