Jean just flat out really likes Krieg. He's the first friend Jean made in Pokemon land, which is significant for a couple of reasons: first of all, it showed him that this world can be a cool place where people aren't dangerous (an irony, considering it's Krieg we're talking about here), and it also showed him that he was capable of making friends that weren't Marco, his best friend from home. Jean has forged closer relationships with other people (Armin and Bertolt), but they knew him from home and are probably obligated to like him or something. Krieg is a friend he made all on his own, and that means a lot to Jean. The mere fact that Krieg seems to genuinely like him and want to hang out with him is something very important to Jean, and he treasures it.