Whatever exists between them is never spoken of. Steed is married to the job; he's been doing it for so long that no woman could take its place. The age difference and Gambit's love for her keep whatever Steed feels for Purdey unspoken. Since he doesn't say it, neither does she. It simply exists.
But there are moments when he looks at her, and what he feels is obvious even to the most oblivious person. His enemies see it. Purdey was a weakness he couldn't afford to have. Yet, he has it. Whether he allows himself to love her or not.