MagiReco's isn't a timeline where the two are close. They're not enemies or directly at odds with each other, but they're not teammates or friends, either.

They are teammates and friends, though. There's a little moment between them later on near the end in the game where they're fighting together, and Kyouko nags Sayaka about not paying attention, or being incompetent or something, and Sayaka says something like "protect me then".