I think DMC 4 story could been much better. It was far to simple of "Save Kyrie". It didn´t shed more light on why Nero feels the way he feels about Kyrie and vice versa.
This scene right here is pretty nice in my opinion, way i interpret it is :
Kyrie understands Nero failed to save him, but she still forgives him of his failure.
And fact Kyrie is the one singing a song with a lyric like this:
Listen to my voice calling you,
Pulling you out of darkness.
Hear the devil's cry of sin,
Always turn your back on him.
Sounds like Nero was on a bad path before his arm changed.
And Kyrie was the one pulling him out of the darkness.
I believe the voice actor of Nero said it was his favorite scene btw.