Sanji's not particularly close to Lelouch, on any level he'd consider "friendly" (they have more of a polite casual accquaintance, instead) -- but he trusts the guy, with his dedication to protecting Nautilus, and all. Lelouch has managed to earn Sanji's respect and trust (things not easily given away, BTW). When "bad things" go down, and Lelouch offers up plans, Sanji will listen to them respectfully, and most likely help support him (unless - for some reason - he really doesn't agree with what's being said). He took some Beginners' Bending classes with Lelouch when he'd first arrived in Nautilus, as well as some Advanced Bending classes, lately, as well. Sanji respects the guy's skill and knowledge.