I think he did try to cheer her up later. And he does try in his own little ways. Trying to distract her every now and then. The little paragliding challenge was also to bring her out of her shell. However, that moment where she was vulnerable and lost was extremely private to her and a moment that he yet had no right to intervene upon. Unlike Anurag, who wears his heart on his sleeve and is more demonstrative, Bajaj is more of a vault. For him to openly do anything, is next to impossible. So he tries to cheer her up in his own way, with other tactics and words that would provoke.
He's definitely aware of her turmoils. The way he looks at her, with tears falling down her eyes, and that soft vulnerable look that comes on his face when he tears his eyes away, gives away the guilt he feels.
But again, he is supposed to be a grey character for now. She is yet to make a deeper place in his heart and make him see the error of his ways and change for her. Until that happens, until the relationship between them undergoes a change and this current of animosity shifts, there will be certain boundaries on both ends.