Hear me out. Kaeya teaching Klee how not to get punished for her mischieves is cute, but it could also have a deeper, sadder meaning. Bcs as a child, Diluc was the mischievous one out of the two of them, it was he who dragged Kaeya into his antics and showed how not to be caught.

And now Kaeya repeating the same scenario with Klee means that he's built his new personality on the basis of Diluc's old one, which in turn shows how much he's always been looking up to him.