She... she doesn't really understand.

Vexen doesn't leave Narnia very often; the other worlds are imperfect by comparison and ruling is such hard work - he doesn't himself really see the attraction that power holds over people like Jadis, Xemnas, Marluxia... But it seems to make her happy, so he goes along with it to humour her.
Although it's oddly satisfying to wake in the morning, walk over to the window - stretching of course; click, click, click - and look out across a beautiful, sprawling landscape far below and know that it belongs to you. It's not like anybody else was there to claim it when they arrived, but that's not the point.
Even more so than that, it's the sense of achievement. He remembers all too well the hollow husk of a world that Narnia had become during their time away from it, and the back breaking, soul destroying work that he and Jadis expended to rebuild it to even a shadow of its former glory. The wasteland is still there, a ring reaching the whole way around their domain, but every day the residents - who also remember being nothing more than shells longing for something to be - are pushing the boundaries further and further until one day, he hopes, Narnia really will be complete once again.

But all things considering, he still occasionally has to leave, be it to check on Marluxia and Larxene - they're dangerous if left alone, he reasons, not wanting to admit that they've actually become quite good friends in the years following the disaster at Oblivion - or to collect supplies, or just to check up on the general status of the outside worlds.
... He's a naturally inquisitive man. Others call him nosey. He pays them no heed.

So when he does leave, he makes sure to give her a special goodbye. He doesn't really like to part from her at all.
Marluxia, he thinks, understands as well - after all, like he and Jadis, Larxene was eliminated before him, and then there was that same painful post-death period of being so alone before finally being reunited. So it's understandable that neither of them like to leave their others, despite the fact that both Larxene and Jadis are fearsome and formidable in their own rights, perfectly capable of taking care of themselves - but he hypothesises that it's a male thing, a need to protect, made even stronger by the memories of a previous, (non-existent) heart breaking failure.

Jadis is at her place at the throne when he comes to say goodbye. She is stark and regal there, surrounded by the ice he lovingly sculpted for her, the very epitome of winter beauty.
He sidles up to her and leans down to kiss her cheek. A little sigh escapes her lips as if to say what is it now? but it's affectionate and the look in her eyes betrays her true feelings. It's not often that he leans down to her, since she towers over even him, and he savours the moment of rare dominance. Not that he doesn't like her height - quite the opposite, in fact; he loves her slender, imposing figure and elongated limbs - but he supposes that it's that protection urge kicking in again. After all, it's easier to protect a small, vulnerable female than one even taller and stronger than you are.
Vexen thinks it's simply a question of balance.
He rests his forehead against hers for a moment, feeling faint heat radiate from her body. She's colder than most, but not as cold as he is. He's so cold that, now that she's close to him, her breath comes out in faint puffs of condensation. She likes it that way.
He lifts one hand to stroke her other cheek as she gazes impassively back at him.
"I'll be back," He murmurs. It's superficial, but it reassures him to hear it, now safe in the knowledge that he will return to her, soon. Soon.
She laughs at him, but there is warmth in her smile.
"Don't be too long,"
That comment is superficial too. She knows very well that he won't, that his excursion will be brief as ever so that he can be with her again.

It is quite a trek to the outskirts of the recreated Narnia, but Vexen takes the effort to walk every step. It's late summer at the moment - Jadis wanted an eternal winter again but Vexen convinced her that the inhabitants wouldn't like that, so they reached a compromise that the winters are longer here, spectacular displays of ice and snow as one would expect from a world ruled by the Chilly Academic and the White Witch, but there are warm, lazy summers too, and springs filled with blossom - Marluxia likes that season in particular - and cool, breezy autumns. In some ways, although of course winter is his favourite, Vexen likes the variety.
He is greeted by a few of the inhabitants - they have all sorts here now; sons of Adam and daughters of Eve, dwarves, centaurs, right down to monopods and marsh-wiggles - and despite his orders to the contrary, they still refer to him as King Vexen. That's something he'll never get used to.
He has quite a reputation here as the Man who Melted the White Witch's Icy Heart. It makes him laugh, partly because it's ridiculous, but mostly because it's true.
He reaches the outskirts where there are there are some temporary accommodations set up at the edge of the nothingness that stretches beyond to the very horizon, barely even exhibiting the shapes of the landscape that once lay there. A whole collection of Narnians work, replacing soil, replanting trees, digging out trenches for water to pour. Marluxia started the regeneration of the local flora off right at the beginning, but it'd be cruel to expect him to restore an entire world. The rest is done by hand.
A centaur approaches him, holding a bundle in his arms.
"Leaving so soon, King Vexen?"
"Needs must, Ixion," He replies, taking the parcel and peeling away the brown paper and string to reveal the stark black leather of his old Organisation coat. He pulls away his cloak, removes his gauntlets, and gives them back to the centaur. A snap of long fingers and the icicle crown on his head disappears. He sweeps the black coat into place and zips it up, pulling long gloves from his pockets and tugging them on, too.
He walks into the barren wasteland and immediately feels the Darkness push in from all sides, held out only by the power infused in his coat. He pulls the hood up, and opens a portal - he does it here of all places so the Darkness cannot enter the rest of Narnia. They have enough to worry about without pesky Heartless, too.
He slips through, and out the other side into an alleyway, and walks into a pleasant, modern day suburban street. A few people walk past, but they more or less ignore him, except perhaps an odd look or two at a man with long blonde hair and a tight fitting ankle-length black coat. Oh, to be normal again. It's another little walk again to the de la Fontaine household where Marluxia and Larxene reside with their children, but he doesn't mind feeling the cool summer breeze in his hair, or the nice, neat rows of houses that gradually transform into hedgerows, then fields, and then the driveway up to the house - or rather a mansion - that is his ultimate destination.
He'd have called Marluxia a self glorifying bastard for that, were he not the one living in a palace. Besides, he rather suspected that the grandiose, modern, glassy structure of the villa had something to do not with Marluxia's preferences, but Larxene's. And the size could be explained away by the fact that the two of them couldn't - and still can't - keep their hands off each other and consequently their family is by no means small.

Ah, the things men will do for their wives.
Vexen chuckles to himself and walks up the drive to ring the doorbell.