He's one of her best friends here; I replace Arthur with her in the mission where they go to Shady Belle for the first time to clear out the raiders and get the guns, as well as the mini stagecoach robbery in ch4 that ends up being a set up. Like to imagine them coming back laughing together about it, with the promise they're not gonna tell anyone that it was botched.

For them, I sorta like to project my experience of having one of your best friends date one of the worst bigots in your highschool who fucking hate you specifically for seemingly no reason onto (one of the most annoying experiences of my life fr, I was so happy when this friend got away, but it sucks looking back on too; it feels like you're not really being thought of or considered in some way, and it makes you feel like you're the selfish one for being upset with it, it's nasty to be in the middle of), it's a terrible feeling, and Lenny attempts to push this aside when he has the realization she and Micah are close in some way at some point in ch4 for their friendship- which deeply hurts him. He tries to ask her about it, but she HAS began her avoidance arc on Micah so she doesn't really dig or fess up much. It's not jealousy at all either, it's really personal, not something he should have to deal with. She doesn't quite realize how unfair it is to him and how much it hurts him until after he's already gone.

He doesn't know they're together, but he recognizes they're close and can't really fathom why, and Jenny's in that REALLY ignorant middle ground where she's like "well why can't I be friends with both people?? They're both good to me." in her mind. It's not meant to be seen as a good thing coming from her.