My guess is maybe WW was trying to imply a whole tight group of friends or sibling rivalry type situation amongst them ? You know they will tease and fight amongst themselves but if an outsider with actual lethal intent attacks one of them they will come together like a family and protect each other. Ya know like siblings... might injure each other over stupid pointless shit but they will always fight together against any outside.
If we take that to be the situation then the moment Cole's life was in danger it did not matter what affiliations or plans Shen believed in long term. He would have incapacitated the MC to save his brother's life. I don't think Shen would have tried to Kill the MC unless he said otherwise ? I don't remember.
Also I am not an expert but I think Stockholm Syndrome relationship would apply between a captor and the captured person not the relations between people held captive together ? Maybe some variation of it ?
There are a few things that make me doubt how tight this group really is. Perhaps I'm reaching, but this is what I got:
1. Cole is always shown to be the offender.
2. When the kids tried to escape HERO, they were split. Shen and Briar had already left, while Zara seemed to get into trouble and Cole went back to save her. Perhaps that was part of their tactic, but I'd expect a group that has been together for years to stick together and have each other's backs.
3. Shen in the previous update seemed very bitter about how Cole treated him in the past. This isn't the emotion I'd expect to see in a "sibling rivarly" type of relationship. Anger, dickmeasuring, outrageous threats, sure. But bitterness? This generally points to abuse.
4. The kids are in a very tight spot. Ella is dead and can't guide them and they try to follow her steps and whatever instructions she has given them while hoping that if they do, she will come back to them. Shen actually mentions that holding MC captive may somehow cause Ella to come back to them faster. Cole constantly messes with that status quo by trying to be "the one". If I had to guess who the kids like more between Cole and Ella, I think Ella is the obvious answer. In a sense, Cole taking such a beating could even be advantageous to them in the long run. The kids know that Ella wants to give "everything" to her chosen (it may be true, it may be not, but that's what they know). Taking MC away from her could put her whole plan in jeopardy as far as they know.
And yes you are correct, Stockholm Syndrome refers to kidnappings which is why I said "kinda". After all Cole acts like the leader of that group and since the outsiders identify them as such, his actions reflect on all of them, so I thought about it as him holding their existences captive in a sense.