The show honestly has one of the purest form of yuri subtext. It's pretty anticlimactic while waiting for something to happen. When it ended I sat back waited for the horde of fanart and angry shippers to come piling in.
If he changes girlfriends often, which is kinda implied considering that his true crush this whole time was on Ah Ming, then the bandmates might not even care or might not necessary be aware of Pu Yi's new girlfriends. Or, he breaks up with one girl because he has already started with another. Etc. I don't really see anything confusing.
Ah, I guess that would make sense. I just assumed they would care a little because Ah Ming replied that he was already taken or how Guge was somewhat surprised to hear Pu Yi broke up with his girlfriend, even though he added the "again" to his statement.