Shen Wei is used to bearing the heavy load of responsibility and doing so without comment and without the expectation of praise or recognition - the expectation of fear and respect, yes, but not appreciation. He is unused to kindness in general.

This request is a scene/set up where Zhao Yunlan accidentally calls Shen Wei "good boy" during foreplay or even just when flirting and that is how they both discover that Shen Wei gets off on being praised. Bonus for Shen Wei being mortally (heh) embarrassed by this discovery but learning to enjoy it (via Zhao Yunlan, ofc).