Don't forget its the player's decision whether Riou defends Nanami during Rockaxe or not. You have a split second to decide whether you want to risk your life for Nanami or leave her to deflect the arrows herself. Of course, she gets shot either way, but if you do try to defend her, she pulls through and even says to Shu that a leader shouldn't let personal feelings get in the way of his more important goal.
It's quite clever making it out like that, because if Riou did defend Nanami in normal combat, then the player would just think "why make that one storyline event optional to protect her if he does it automatically in battles any way?"
I'm not sure if the heroes from other games will protect their closest friends in combat, though I'm sure both Lazlo and Kyrill protect their closest friends in Tactics.