also in the end when rolo dies does Leolouch conisder him a brother or not even then?
Gay Rolo kill Shirley because he thought he was protecting Lelouch identity Lelouch meant that when he was geass by his father he consider him his brother since Lelouch remembers he doesn't consider him as a brother.
Rolo Code Geass
It was in Season 2 Episode 13 Titled: Assassin from the past - shirley dies
And episode 19 was where Rolo dies - to me it almost just sounded like he told rolo that to make him feel like his brother just because he was dying. But to Rolo all of it was real, because he had been used his whole life by everyone, his "brother" was all he really had.
He thought that he will protect lelouch's identity like that.