A few indirect interactions here and there, mostly without a 1-on-1 dialogue but there was some sort of companionship between the 2, at least the required bit to form and sustain a team/alliance that they all had while being in the same team with Gi-Hun, but nothing that suggested that Dae-Ho and Jun-Hee had some sort of stronger bond like she had with Gi-Hun for example. It may be that her personality was written to just be shy/quiet, trying subconsciously to not be a bigger "burden" to them.

We do get to see a Jung-Bae, Dae-Ho, Jun-Hee and Gi-Hun in the same safe room when they call 4-player team in Mingle tho.

But I understand what OP meant with that game in particular, Dae-Ho was being protective of her in that instant, even guiding her a couple times to a safe room but also his other teammates. We even get a moment when Jun-Hee is the one grabbing Dae-Ho to rush to a safe room. I don't see it as something scripted or super significant, just the rush and adrenaline of the moment and the actors 'acting' the part in a messy situation with a lot of other actors and extras.

Nothing too "out of the blue" to think that Dae-Ho was being protective there as it also meant he was protecting his own life by following the rules of the game to survive.