The relationship Athelstan has with Frida is kind of complicated.
He sees support in her and a reason for why he isn't completely alone in a world so different to what he's accustomed to, even when he KNOWS that's Frida's true world and she belongs to it, no matter the time she spent at the monastery. And I think it kills him a bit so he chooses to live in oblivion.
While Frida sees him a bit like a big brother figure. She appreciates all the ‘work’ he’s done to look after her and can see the good faith in his intentions, but he and christianity is still a reminder of the bad things and trauma she’s been through. She pities him because, in all her understanding and similarities she sees between them, she still perceives him as a man corrupted by his religion, which, let's be honest, is not hard to do when you live between such kind of men for a long time. But she cares for him nevertheless.