Currently Airing Anime

Well it's hard to show his emotions in the manga. I think he really has cared for the girls he captured all along but tries not to show it (or like I said, it's hard to show it in the manga). It's a lot easier in the anime to show his feelings. If you look at some of his captures he does show some affection towards the end of them. He congratulates Ayumi at the end of her race, he tell Elsee that Kanon was shining herself at the end of her performance, Elsee says Keima looks sad after Minami's capture (I think that's her name, the middle school girl). Then later, after Minami doesn't remember him, Haqua asks him if he's okay after he gets "rejected" by her and Nagase sensei.

So basically, I think he has cared all along, he just tries not to show it.