So Axel cried because he used Sora's heart? I kinda doubt that, however, Xemnas did state that Axel did indeed affect Sora which partly explains the reason for Roxas' appearance in Dark City. I don't think we'll ever get a real answer until the other games get released.
Actually, they we're attempting to eliminate Marluxia, specifically, not Xemnas exactly. In fact, one could say they conspired to do this out of their loyalty to him since Marly was a traitor after all.
I think the apprentices of Ansem were somewhat friends at one point, maybe even close friends. Heck, even the password to the Room of Sleep was all of their original names! But after Xehanort became Xemnas, the undisputed leader of the Organization, the other members began to fear him and their relationship distanced. They became more of Xemnas' servants rather than accomplishes when they became nobodies. On the other hand, perhaps it was only Xemnas who was less close to the others, for example, Zexion seems to kinda get along with Lexaeus and Xigbar. The only contradiction to this is when a Xehanort-possessed Riku murdered Lexaeus in cold blood, though a simple explanation to this was that he did not recognize him as Aeleus (nobodies do differ in appearance compared to their original selves).
As for the subject of Roxas, I have no clue at all whether or not he has one. True he is a special nobody, but we mustn't forget that nobodies can exaggerate emotions quite well (i.e. Axel crying). I don't think even meeting up with Sora's friends was even enough to give him a heart, unless of course, we return to the matter that he is a special nobody.
Hmm... it looks like the corridors of darkness will play an important role in the story and gameplay. I can't wait to play as my favorite members (though I do wonder how I'm going to use a book as a weapon for Zexion :$).
