Writer!anon here. Yeah, Hickey’s a lot of things, but he is admittedly loyal. Certainly more so than Benjamin Church. After all, in canon, Hickey still tried to kill Washington and complete his mission in spite of the odds against him. He also did his best to retrieve Johnson's box at the beginning of the game. To me, while he's not loyal to concepts, which are too complicated and pointless to a simple bloke like him, he's loyal to people who either keep him alive, out of prison or pay him enough to make the risk worthwhile. Only because that sort of loyalty helps him personally.

So for now, while he finds Fem!Connor mouthy, naive and dour, she's kept him from getting killed so far and her skills will come in handy against someone as psychotic and brutal as The Hessian. There's the added bonus of her being nice to look at. And perhapse Haytham may reward him a nice bit of coin for relaying back to him an up close and personal report of how a top assassin operates? After all, Hickey’s a pragmatist first and foremost, and Connor is worth more alive than dead...for now.