Time heals all wounds. While it is understandable for them to remain furious at the dragon for a good, long while following their capture, if the dragon does nothing but treat them (sternly but) fairly following their capture, I have hope that they might one day change their minds. If anything, is Valzira going to stay put in her cell, lashing out at every opportunity for next next—how long do elves live?—five centuries or so? At some point anyone would just run out of energy. I suppose one could view this approach as another form of “breaking”, but I still find it preferable by far.
There’s also the fact that the dragon isn’t the only factor; there are the other captives as well, who could do their part in mollifying Naho or Valzira. Marie-Anne already has a few interactions with the latter (of which I am very fond) which hint at the possibility of making peace with her, and there could be even more; Héloïse—who has already demonstrated a certain willingness to help Maëlys out of her shell—could help with the effort as well.
(Picture a scene where the dragon has Valzira’s bindings removed; she instantly tries to manipulate him, but is unexpectedly stopped by Héloïse, who, as you brought up, calls to her attention that they were being manipulated by the Pale Convocation anyway, etc. Maybe she has to be put back into restraints for the time being, but now she can mull over this new information, all the while being reminded of the dragon’s relative goodwill (he could have killed her for her attempt on his life, but chose not to).)
I’m always in favour of more bonding between harem members, and eventually, this could lead to a situation where, even if Naho and Valzira still have a sore spot for the dragon, their relationship with the other girls serves to keep them in check.
That’s one point where I wish the game let us be kinder; I think Mina’s is the only relationship you can meaningfully improve without having sex with her, and I personally would like to be able to do more for the harem girls that didn’t involve sex—bringing them gifts, improving their living conditions, spending time with them (inviting them to the baths, etc.), and so on. That’s just my preference, but even in a slave game like this, given the chance I’d rather win the girls over beforehand.