There are many reasons, most of which I can't say bc of spoilers! I can give you some sorta vague/general tidbits though! Haewon and Gordet had a connection prior to Haewon's becoming a Muse/Gordet's becoming her companion. Specifically, Gordet was Haewon's imaginary friend when she was much younger. Haewon was involved in an incident that led to both the development of her main fear and Gordet's identity further developing beyond Haewon's imaginary friend and becoming the Gordet you see now.
Hope this makes sense :] thank you for asking questions about my scrunklies heehoo