And we've seen this quite a few times now -- Zuko considers Katara the best one to have at his back in a fight. Even in the training exercise, he picked her to go with him. Their fight scenes (against each other and together) have enough passion that it easily translates into something else.

Zuko . . . with everything he's been through, the girl for him is a) One he trusts to watch his back and b) One he knows is powerful enough to defend it.

That's Katara. I've got nothing against Mai, but Katara is Katara.