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Shireen isn't as oblivious as people think she is. She knows people think her father doesn't love her, that he can't love at all, but they're wrong. If her father didn't love her, he wouldn't have made Pretty for her.
She was aware the automaton wasn't much to look at, it was a small, misshapen clockwork creature he'd made before he'd really any experience with making automatons like her, but neither was Shireen, they fit together. And besides, she'd named her Pretty because she thought she was and she still does with the way her bronze cogs shine when the light hits them and the yellow crystals of her eyes sparkle. But that wasn't why she loved Pretty. She loved Pretty because she was a promise and proof from her father that she would always be loved.
Pretty was made to be taken everywhere. She made to play with her and Patchface and Edric. She was made to play comforting music and make her laugh. She was made to the things that Father couldn't always be there for or struggled to do at all. She was made to show the love he held for her but couldn't, not how he thought she wanted.
For that alone, Shireen would never let go of Pretty. It didn't matter how many more beautiful or perfectly constructed automatons she was offered, it didn't matter how she was mocked by the girls at school for Pretty and her shortcomings when they had much better ones made in artisan workshops, it didn't matter how strange her father could be at times. It didn't even matter when Pretty started to break apart, her springs rusting and music missing a few notes. Pretty would be with her forever because Pretty was her father's love, the love she had always felt and never doubted, made physical.