The ambiguity of Fergus' feelings for Dil
It is difficult to be certain what hold Dil (Jaye Davidson) still had towards Fergus (Stephen Rea) after the twist. He completely cuts any possibility of a romantic connection, he refuses to acknowledge Dil as a woman, and yet Fergus apologizes to Dil after he punches her and they continue to have a close bond though Fergus keeps correcting Dil whenever she refers to Fergus by intimate basis.
I believe Fergus loved the woman he thought Dil was and his guilt over Jody (Forest Whitaker) meant he felt he had the duty to protect Dil at any cost. Since he couldn't protect or save Jody, Dil was his way of atoning himself for what he did.