I've seen some people say that Mai would have chosen to go with Zuko when he left the Fire Nation if he had asked her, and while I think that's...debatable, that's kind of beside the point because Zuko didn't ask her. As I've said before, the decisions Zuko makes about his relationship with Mai always involve walking away from her, not because he doesn't care about her but because this is what he has to do to grow as a character.
Sokka: I think your uncle would be proud of you. Leaving your home to come help us? That's hard.
Zuko: It wasn't that hard.
Sokka: Really? You didn't leave behind anyone you cared about?
Zuko: Well, I did have a girlfriend. Mai.
Sokka: That gloomy girl who sighs a lot?
Zuko: Yeah. Everyone in the Fire Nation thinks I'm a traitor. I couldn't drag her into it.
And while the reason Zuko gives for leaving Mai is specifically about protecting her, it's more than that. Narratively, Zuko's relationship with Mai is set up as an obstacle that he needs to overcome, part of getting everything he always wanted only to realize that it is empty and hollow if he isn't being true to himself. This is not Mai's fault, but it is important that Zuko chose to leave her behind. And he chooses to leave her behind again when she confronts him at the Boiling Rock and he is forced to stand up for and defend his decisions and beliefs, to be true to his authentic self. Even if he didn't break up with her in the most socially acceptable way, it was still his decision and he stuck to it.
And since his final decision to leave Mai in "The Boiling Rock" (I REALLY did not expect Mai to come back in the finale, despite her declaration of love for Zuko) comes an episode before he goes on a life-changing field trip with Katara, with whom he has loads of romantic chemistry even when the show is trying to convince you he doesn't, it's hard NOT to compare the two relationships in terms of leaving behind and coming towards something new, and the following 6 episodes, the last 6 episodes of the series, spend a great deal of time developing Zuko's relationship with Katara.
Zuko: I can handle Azula.
Iroh: Not alone! You'll need help.
Zuko: You're right. Katara, how would you like to help me put Azula in her place?
Katara: It would be my pleasure.
This conversation in "The Old Masters" is in contrast to Zuko's conversation about Mai with Sokka. Zuko chooses to leave Mai because he can't drag her into his fight, but he chooses Katara as the person he wants to fight alongside. Now, part of this is the difference in situations. Katara is already fighting in the war, and there's no ambiguity on which side she will fight. Zuko can't ask the same thing of Mai even if he wanted to because she wasn't already a part of this fight. Although she was already a part of the war, and Zuko knows, as he says in "The Boiling Rock," that she does not need to be protected and is a more than capable fighter. But she chose to fight against Zuko and everything he currently stands for, so the biggest issue there is really that he can't be sure that he could trust her with what he means to do by joining the Avatar, despite their relationship.
(Side note: I've always found it weird that Sokka describes Mai as gloomy and sighing rather than "that girl with all the knives who tried to kill us.")
There's also a parallel in these two scenes with Zuko's arc of learning to trust and rely on and form meaningful relationships with other people in general, and the theme of strength through friendship and community, and love. In the first scene, Zuko says to Sokka that leaving his home wasn't that hard, and it's only after further prompting that he brings up Mai, who he broke up with by letter. Zuko cares about Mai but he views leaving her as necessary and forms communal bonds with the gaang as part of actualizing and becoming the person he wants to be.
In the second scene, Zuko again has to be prompted by Iroh to realize he can't fight Azula alone, that he needs to rely on others for help, but this time he admits that Iroh is right and turns to Katara for help, because he knows he can trust her and that she would readily accept that trust, based on the bonds they have formed in the past several episodes.
And Mai coming back in the finale to tell Zuko that he should never break up with her again after Zuko has seemingly completely forgotten her in prison is so contrary to those themes that the narrative had previously built up with these characters. This isn't even about an expectation that Zuko get with Katara because there is no expectation for that to happen within the timeline of the canon narrative. I would have been happy if Zuko had ended the series single. But I guess the writers felt that they needed to try and nerf zutara give Zuko an endgame relationship to balance Katara and Aang, because that's the only reason I can come up with for Mai's reappearance in the finale. Or somebody at nickelodeon said that you can't vaguely imply that characters had sex on mainstream children's cable unless they get married and make babies.
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