I think the romance aspect of the Kay/Michael relationship fizzled after Vito was shot. There's a couple of scenes pre-shooting where they're a couple in love -- the Christmas shopping scene immediately before Michael comes across the newspaper announcing Vito's shooting, and a deleted scene where they're having a romp in Kay's hotel (http://www.youtube.com/watch?v=AV5HIWK2Lxc).

Contrast that to after Vito's shooting - Michael is much more withdrawn. He has that thousand-yard stare while eating dinner at Kay's hotel room (just before he gets punched by McCluskey) and when she later calls, he can't even bring himself to tell Kay he loves her, for which Clemenza gives him a good-natured chiding.