It was never explicitly stated. But it was hinted at. Particularly the chapters when Caius met with him back during the egg arc - he was distant with Caius as soon as he mentioned Koichi. There was also a parallel drawn between Caius’s father and prophet and Caius and Julg.
And while that parallel was drawn as a parallel to something else, it also served as a hint that there was other similarities between the two pairs of men. Both the prophet and Julg deeply loved the royal man they grew up with. Both the prophet and Julg were not in the running for marriage partners. And both the prophet and Julg still carry a torch for the man they love.
But that’s where the similarities end. The prophet was content to serve the king and do everything he could to make sure the king was happy. Julg, however, could never let go. It’s now apparent he has done everything he can to ensure Caius never gets married to Koichi - so he could swoop in a take Koichi’s place.
Supporting Naiad to be queen likely was also to ensure Caius never became king - which meant Caius would be free to love whoever.
I recommend checking out chapters 76-77
Can someone please tell me when Julg had feelings for Caius. Where the sign? Did I miss it?