Of course Michael loved Kay. In fact, in court papers was the following:

There are many many crazy things
That will keep me loving you
And with your permission
May I list a few
The way you wear your hat
The way you sip your tea
The memory of all that
No, no they can't take that away from me
The way your smile just beams
The way you sing off key
The way you haunt my dreams
No, no they can't take that away from me
We may never never meet again, on that bumpy road to love
Still I'll always, always keep the memory of
The way you hold your knife
The way we danced until three
The way you changed my life
No, no they can't take that away from me
No, they can't take that away from me