Why does it matter if Malleus is the only person who believes it? As Lilia says, his is the only opinion that matters. Regardless of what others say, or what they tell him he should think, Malleus only follows what he wants to follow. This is, perhaps, a severe character flaw in a leader, but when has he ever had to do otherwise?

So, he truly does take Lilia's words to heart- Almost.

"What you want matters." Because Malleus cares about what Lilia wants. Even though he is a selfish young man - raised spoiled and praised, with the skills to back it up - Malleus cares very deeply for those who matter to him. Lilia is at the top of that list, written in bold.

Malleus would take what he wants with anything else, but not with this. Not unless Lilia says he wants it, too.