Just to go in a little detail to clarify some things...
- Most importantly, while Slaanesh-chan is heavily inspired by the Chaos God from 40k, she isn't her/him/it. She is a human being. She has human emotions and thoughts. Those are of course influenced by her being raised in a Malfean culture, but it doesn't make her completely inhuman.
- Even though she's a sadomasochist, she's not a sociopath. She has Compassion 2, a normal rating for a human being. She has the capacity to understand and care about others. She hasn't really cared deeply about anyone before, but that's due to losing her mother early on and Malfeas not being a particularly caring place. She was fond of her former master, but not so much that betraying her was unthinkable - the relationship was not one of equals, after all, and Slaanesh-chan decided to be ambitious. That said, she understands preferences to an extent, and that most people don't like pain - that's something that's abundantly clear in Hell, as most go out of their way to avoid it. Unlike the Chaos God, she's not going to torture someone just because she likes torture. Mind you, she does, but either you need to be an enemy or you need to be into that kind of thing. When enemies aren't involved, she has more fun when everyone else is having fun.
- Her Maflean upbringing has had some interesting effects on what she regards as acceptable, and social hierarchy plays into that. Hierarchy is important in Malfeas, after all, and one does not generally survive long by ignoring that. For instance, she was willing to steal from her own master. She knew she'd be punished for it, but she was willing to go through the punishment to get what she wanted. On the other hand, she wouldn't steal from a different citizen unless ordered to. Getting caught at that could start a war, and the punishment would be far worse - one could be very well put to death to appease the offended party, or traded away to them.
Additionally, she would never sell out her benefactor to a third party. She stated it was rude, but it's also stupid. Even if she traded up by betraying her old master to a new one, the new one wouldn't trust her because she's obviously mercenary enough to betray them to another as well. She couldn't trust her new master, and her new master couldn't trust her. Trust is a valuable commodity in any long term relationship, which is especially true in a place where the threat of death is constant. While it might well be contradictory to that, she was willing to betray her master for her own personal gain, as she was essentially looking to become her own master to get the lifestyle she wanted, but only because there really wasn't any other way she could see doing that - if there was a better way, she'd have gone for that, but usurping your master is strangely valid in Malfeas as ambition is well understood.
Now, what this means for how she'll see Lelouch and Nunnally is important. Lelouch is her senior Peer and the Marshal of the Althing. He's got temporary authority over her, and even after that he's still first among equals. Nunnally on the other hand is a bog standard mortal, but she is Lelouch's sister. While Slaanesh-chan doesn't quite understand family (it's not a normal practice in Malfeas) she would note that Lelouch is extremely protective of Nunnally, so in her mind she'd understand that in some form or fashion that Nunnally belongs to him. Since he's her social equal and a person of great power, that means that trying anything with her without his permission would possibly be grounds for him to start a war with her, and she wouldn't want to make an enemy of him over a normal mortal girl. There's plenty of those to go around, after all. The worst she'd likely do to Nunnally is flirt, and Nunnally would probably be oblivious to it.
Lelouch and the other Peers she'd be completely shameless with, though she wouldn't do anything to them that she thinks would make an unnecessary enemy out of any of them. She's going to drive Lelouch up a wall, but she's not likely to make him an enemy.
Or at least that's my take on her, but she's in Alexander's hands now.
