Why am I doing this? Why am I going back to the castle? There's nothing there for me. How can I keep working for [the Organization] if they're gonna leave me in the dark? What am I saying ... This isn't about them, or Xion. It's about me. Whatever "me" is. I feel like I'm the only person who doesn't know. Have I got anything left? Any place I really belong? Any friends ... I still belong with? Roxas, Day 354 ~Truth~

If there is one thing about Roxas that really sticks out, it's that he is constantly asking questions. He wants to know what things are and why things are, from Day 1 as a clueless shell to Day 365, when he finally returns to Sora. Not satisfied to let things go, Roxas is persistent and adamant.

Strange things happen to him every day, but every day for Roxas is Keep-Roxas-In-The-Dark-Day. Everyone is deliberately vague with him, never giving him straight answers. He sees visions of Sora, and doesn't understand who it is or why he has this strange connection to him. Xemnas tells him that he and Xion are both linked to Sora, but leaves it at that. His best friend, Axel, won't give him straight answers. He's left to wonder for himself what exactly everything means.

I don't understand the Organization. I don't understand Axel ... I understand myself least of all. Why do I keep coming back to the castle? Me and Xion are special, connected by "Sora." If she's a puppet, maybe I am, too. I don't know what I am. Roxas' Diary: Day 355 (Who Am I?)

Eventually, it becomes too much for him to handle. Xion disappears from the Organization, and in her wake, a surge of secrets are revealed about her existence. Roxas learns that she's a Replica, and begins to question his own existence. Having been repeatedly told that he and Xion are "special" Nobodies, he wonders if he, too, was created by the Organization. He doesn't ever connect "Sora" with "Keyblade Master", but he does realize that Axel knows more than he lets on. He confronts Axel, who clams up, as per usual.

Axel: You really think the truth is going to make you feel better? It won't.
Roxas: What makes you so sure? I have a right to know who I am! How did I get here? Why am I special? Where did I learn to use the Keyblade? I deserve those answers! Day 355 ~Unsaid, Unheard~

This entitlement that Roxas has is something that appears again, later, in KHII. In his final days in the Twilight Town simulation, DiZ tries to prevent him from finding the truth, maintaining that Nobodies don't have the privilege to know such things - lesser beings than humans, indeed. Roxas still wants to know, even if it doesn't change his fate. "I have the right to know!" Roxas doesn't really care about having a heart, but he's determined to know the truth about his existence. A brutally honest and blunt person himself, he hates it when people lie to him.

Adamant in his belief that his existence is worthwhile and meaningful, he hates it when people try to compromise that or tell him otherwise. His steadfast, stubborn belief that he has value suggests that he's very confident, but the fact that he gets upset when people undermine his worth belies insecurity. He can be quite cocky and arrogant, but this doesn't seem to be a "cover-up" for any "hidden insecurities." However, someone who is confident wouldn't react so strongly to insinuations of his worthlessness or inferiority (to Sora, in this case). He's impossibly sure of himself, but at the same time seems to seek validation. My diagnosis is an inferiority complex - especially evident whenever Sora is brought up, and Roxas, confused as to who the kid is and why he's So Important, gets irritated.

In the beginning, this isn't something we can see very strongly in Roxas. Zexion informs him that he and the Organization are Nobodies (Roxas' reaction to the name: "Well, that's not very nice."). He has a few nagging questions that tag along, but not much comes of them. It's not until later that things start to get more involved and he encounters stranger and stranger things - a mysterious Riku, Xion's disappearing acts, Axel's evasiveness - that whispers of doubt truly take hold of him. These lingering uncertainties give way to a torrent of questions, his doubts solidifying every day as he begins to uncover pieces of the truth.

Roxas' desperation is clear and evident, but nothing says it better, perhaps, than his journal entries. If you read through all of them, you can see his desperation and frustration growing by leaps and bounds every day. Everything preys on his fears and worries - the reason behind his Keyblade, his connection to Sora, the Organization's true nature, the purpose of Kingdom Hearts, and his role in the Organization.

I have to know who I am ...

I am DONE WITH THIS Roxas' Diary: Day 355 (I Am)

Does this not break your heart into a million tiny pieces? I know it does for me, every single time. He leaves the Organization after Xion does, having reached his limit. He's fed up with the Organization and hoping to find answers, but doesn't know where to go, wandering aimlessly with nowhere to return to.

Roxas always seems to have accepted the fact that he was a Nobody. What he didn't accept was that this made him less of a person, that without a heart he wasn't worthy or less capable than others. When told that he was Sora's Nobody, this was a sign to him that he was less worthy to exist than Sora - mostly due to the context in which he was told. Practically forced to give up his existence, Roxas had no choice but to return to Sora.

Later, Roxas leaves his battle with Sora satisfied. Never having understood the importance of having a heart, he never understood why having power over the Keyblade was so significant. In his battle with Sora, he realized the importance of the connections Sora had with his friends.

Although my heart may be weak, it's not alone. It's grown with each new experience, and it's found a home with all the friends I've made. I've become a part of their heart just as they've become a part of mine. And if they think of me now and then ... if they don't forget me ... then our hearts will be one. I don't need a weapon. My friends are my power! Sora, Kingdom Hearts (Hollow Bastion)

In the end, Roxas realizes that what DiZ had said to him was wrong. He is not inferior to Sora - he is Sora. At the same time, though, they are drastically different - all at once they are the same and different. This is the paradox of Kingdom Hearts. Neither he nor Sora would be complete without each other - in fact, the two of them, separate, could possibly be considered "inferior" to a complete Sora.

Axel: Maybe you're going to sleep. Soon I won't even be able to talk to your consciousness like this.
Roxas: I ... I'm going back to how I was.
Axel: I've thought about it a lot. Naminé said the same thing. Kingdom Hearts II: Final Mix+ (Post-Sora/Roxas Battle)

We may never know the exact details behind Roxas' inner struggle and how he comes to terms with all of his concerns and problems. We may never know who and what Roxas really is - calling him a "Nobody" is too simple. More importantly, though, Roxas is able to understand why the heart is so important. This, I think, lets everything else fall into place, and Roxas returns to Sora. The pain is still there. It won't go away. His end is less than ideal - where are his best friends? But he's home.

"I want to line up the pieces ... yours and mine."

tl;dr this is Kingdom Hearts; ergo, nothing has to make sense.

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