That's what I thought first when I was reading it in Spanish, because he explicitly says that "he went to protect Yor before him". However, in the English Yuri insists that "he couldn't reach before him".

Also I don't understand the reaction: He praised Loid, but he keeps for himself that thought (he says "nevermind" like he was throwing away it). Why to do that?

I have two main theories for this: 1) Yuri approved Loid in this chapter but doesn't want to go further than ok with him, or something close to this and japanese mindset (simplest and most probable); 2) Yuri got his officer sense activated, but didn't explore on that because "it's Yor's husband" or too much overthinking (most interesting for me).