Your canon material for study: 'That Naughty Flashback Scene'
Ready, steady, GO!
Knowledge of human nature suggests that Klaus probably didn't know--at that time-- exactly why he couldn't resist Lu. He probably was somewhat in love, especially attracted to the dark streak, somewhat (shamefacedly) triumphing over the Heterodynes (esp. if Bill and Lucrezia didn't get it on until AFTER marriage), and subconciously, to some extent trying to protect Bill by taking that grenade.
Real people are complicated like that.
Fortunately, I think Klaus got a better handle on his emotions later on.