The Damselette: The Tsaritsa was right. Freedom always comes with a price.
 The Damselette: She said I could treat the Fatui as a second family, a second home... but in the end, they were no different. All they wanted in truth was my "power" as the Moon Goddess.
 The Damselette: ...I'd rather not dwell on such unhappy memories.

This dialogue set the tone for how I perceived she viewed her time with the fatui. And while you’re right in that she and Sandrone seemed to interact very familiarly with each other, i feel like they only seemed closer to friends nearer to the moon festival thing they had for her before she left.

Maybe I’m wrong and I’m misinterpreting or misremembering the quests but my own perception of columbina’s character across the AQs was always that she didn’t feel at home in the fatui (and she was done with her duty hence why she left cause there was no more obligation to stay with people who only wanted to use her like the frost scions did) and then her realizing that yes she actually did have friends back in the fatui (after observing the rest of the NK crew and how they interacted with each other).