Yes! And Shen Wei is forced to always keep a distance because Professor Shen is not all of who he is - he couldn't truly open up to anyone who doesn't know he is the Black-Cloaked Envoy, even if he wanted to. (Which I also agree he doesn't.)

Li Qian is his student, though; as her professor, that relationship is always going to require a certain level of distance, no matter how close they are as student and professor.

And Zhao Yunlan doesn't truly connect with people for the same reason; he connects to his team on the same level Shen Wei does to Li Wian, but it's an inequal and limited relationship. Da Qing is the only person he is open with, until he meets Shen Wei.