Kaede totally got what Nanami's confession meant but she feigned ignorance bc she's not ready to face it yet bc unlike Koyuki's confession, Nanami's actually made her kokoro go doki doki and she has to hash all that out before she feels ready to reply to her.
At least that's my take on the whole thing
There are two ways I could see this going, The first is the heartwarming scenario you just described which is the one I am personally rooting for.
The second possibility is that she misunderstood the intention behind Nanami's confession as platonic in nature, but hearing those words out of her mouth still made her heart do a backflip which she hid because she didn't want to make things awkward by getting all visibly flustered over what she believed was intended to be a declaration of deep friendship rather than romantic interest.
True true. Either way it achieved the important thing, making Kaede conscious of Nanami in a romantic sense~ Still 3 volumes left, so i'm sure there's plenty to go down- and then uphill from here xD