Yeah, while I can't figure out the exact matter, it certainly feels like some of the characters around know a lot more about the MC and Nami then they tell, and are watching them from afar. It gives me Karlsson's Gambit vibes in a sense that the MC and his sis, unaware of their origins, are involved in a power struggle between the most rich and influental clans of that game's world.
They have to very carefully observe and communicate with the characters, collect any possible information, trying to understand the balance of power in this struggle and their own place in it. And they need to be even more careful in their actions, since without understanding the meaning of what is happening, a mistake can be very costly.
I’m not saying that the same plot is playing out in the world of SG, but I won’t deny this possibility either. Probably, the same dynamics have settled between the ZPR families as between Zara and Nadia
They have an established balance of power, they are partners and rivals at the same time. But Nika and Nami are an unknown disturbing factor. They may be the heirs of some family that has lost influence as a result of rivalry or even members of one of the ZPR families.
This may be why the MC attracts the attention from members of other families. Sasha of P, Ayua of Z, they behave a little strangely towards the MC. Perhaps for now they are only observing and evaluating him before finally deciding how to treat him and what actions to take.
Or maybe Sasha just has a weak stomach, hence the strange gaze