He also asks her 'what is it you want from me?', which isn't quite word-for-word 'what do you want' but in the context of relating a conversation he's had with Morden, maybe not a sign that he is in a good place. (Although it's also a reasonable question!

Heh, I hadn't thought of that at all as a callback to Morden's question. But it is as you say also a reasonable question! Poor Lennier :(

stroking his face and asking him to stay longer and having a conversation about how much her husband loves her vs understands her, no, I really don't think so

OMG YES. That whole time I was all "welp, I had wondered whether this season was going to give me more OH DELENN NO and it is CERTAINLY DELIVERING ON THIS." (I do think Delenn is portrayed very consistently in this respect -- it's very on-brand for her to be very committed to what she's doing and having hella ulterior motives she won't admit to herself, while both not doing the most aboveboard thing and not really allowing herself to think about that she's not doing the most aboveboard thing.)

but also partly because he knows that's what he looks like to the main characters and plays with it

Yes, that's a good articulation of why he's such a great character!