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In the world they live in polygamy is completely normal outside of the Millis faith. Rudy and Sylphie were not raised to think anything negative about polygamy. Rudy actually specifically encourages his mother who is a member of the Millis faith to go against her religious morals and enter into a polygamist relationship. Sylphie grew up seeing a healthy successful polygamist family almost daily. She learned things from Zenith and Lilia and saw them living happy lives. Sylphie states several times in the novels and its even included in the show that she had always expected Rudy to take another wife. She doesn't feel like she deserves a man who is so "perfect" from her point of view and not the point of view of the audience. She see's Rudy is a well off Noble, handsome, extremely magically talented, kind, protective of her, literally her savior.
Sylphie already knew that Rudy harbored some form of feelings for Roxy and she has no reason to refuse Rudy another wife. People who can't separate their real life morals from the entertainment they are watching are brainlet retards. I personally think polygamy and adultery are some of the most vile sins but i can watch a show or read a book that depicts them and not have it color my view of the story and characters.