Hearing what happened with her, all the members of the conquerors were feeling sad for her. For one reason or another none of the members of the conquerors grew up with their parents. So they had a very good idea about how painful it was to lose one's family. That was the main reason why everyone was sympathetic toward her.
Rein was quite sad for another different reason too. Anneshia told him that after waking up she had stayed in this deepest part of the dungeon for the whole time. She had no one to talk to and she was completely alone. This happened for who knows how many years and then finally Rein and his team appeared.
That meant for the past thousands of years Anneshia had to spend time completely alone. She had no one to be her companion for some time. Immediately Rein decided to spend as much time as possible here with her. He told Stella, Tasha and Kagura about it and asked them to give their company to Anneshia as much as possible.