I love the story, but I'm also frustrated with their relationship *sigh*

not surprising, Kay was forced to be in that relationship. He has no hint of loving Zigril romanfically in the first place. We should be glad he doesn't develop Stockholm Syndrome like other bl manhwa

Yes, that's right and even though Kay has tried many times to escape, for some reason he is always trapped and saved by Zigril.
But to be honest what I'm afraid of isn't that, but what I'm afraid of is that if Kay betrays Zigril and does something he shouldn't have done... (dethrones Zigril from her current position), you know the chapter in he agreed to this when he went into hiding because he was wearing servant's clothes.