Considering he takes after his father it's probably some twisted desire to control her. Look at the parallel of lante and sierra, she hates him but stayed because she didn't want her last child to get hurt. Similarly dion wants to control roxana completely by destroying everything she loves. Basically turn her into the og blackened heroine who will only focus on him even if the goal is to kill him.

Why is everyone so hot here like man this is one sexy family
Also what's Dion's problem like why did he decide to follow Roxanna?