I think his concerns for her were more akin to that of a big brother figure, or at least that of a good friend. Maybe it's just me, but I think Leo being Leo, he felt guilt for what Kefka and the Empire did to Terra, and by helping her, he probably thought he could redeem himself. Now as for Terra and Leo, I never really interpreted their relationship as something romantic.
I couldn't say if it'd be a successful relationship or not, but since Celes obviously shows that she has feelings for him, and since Locke opens up to her more after the Phoenix Cave/Kohlingen event, it's quite possible they'd end up together some time after defeating Kefka. I personally believe that there may be enough between Locke and Celes for a relationship (as Locke clearly demonstrates by the end of the game that he's finally ready to leave his past behind and move on).
Isn't Edgar paired with pretty much every male in bad FFVI yaoi, anyway?
