I don't think he meant it in a romantic way. He explained it better in an interview last week. He said he came into this season very confident that he would win. A couple of weeks in, they went off track and lost sight of what they were working towards and were very down in the dumps. They didn't think they would have a chance to win. But then they started focusing on just the dancing and not let anything outside of that affect them (showmance rumors, her breakup, etc.) and started to go full out again. I think, out of all the couples, they feel they have the most to prove because people are focusing on their relationship outside of the show and that takes away from their dancing. So they are trying their hardest to stand out and get people back on their side through amazing choreography and other tricks that other couples won't attempt.