Hei entered into Luceti on a rainy day sometime during March. He was able to witness the Transformation Event without getting involved overmuch (dragons, moving statues, and the like made him wonder about the place. And the sanity of the Malnosso, as he didn't see a point in the changes) until the family AU.
During the family AU event, Hei was placed into a "family" with Stella, Yuri Lowell, and Shuri Oak. He was also friends with Shizuo Heiwajima, the caretaker of the orphanage. During the experiment Hei wanted a bagel only to find there were no more left. When he came outside to find the bagel-eating culprit, he found Shuri holding a sword and Yuri standing over him with something akin to a proud twinkle in his eye.
Hei did not like this.
Mostly because Shuri using a sword meant he would fight (and something about that rubbed him the wrong way. He didn't want Shuri to have to fight, he wanted to protect him), and because Hei saw it as Yuri encouraging Shuri because he wanted a son to take up fighting with Shuri going along with it from his desperate want of approval/attention. The "fight" ended with Shuri getting elbowed accidentally, Hei leaving, and them all making up later.
Because of Duke. And that was completely unintentional.
When the experiment ended, Hei was pretty pissed off at Shuri for replacing Bai (and is being somewhat immature at him because of it, he has yet to realize this), but he's also curious to know what Yuri/Shuri/Stella remember about him from them. Knowledge such as whether he's a Contractor or not...
To understand what this statement means in relation to Hei, I might have to explain Contractors a bit. And to explain Contractors, I might have to dip into Darker than Black's history. So you can pretty much consider the upcoming paragraph to be a setup or a backstory; it's just a means to an end. Feel free to skip it, if you like. Though it might be hard to understand Hei's personality without it.
Contractors are generally viewed (both by others and themselves) as cold, emotionless, logical beings. They think only of themselves and only of what may benefit them. Because of this they're usually hired as assassins or mercenaries, as they're able to do what normal humans cannot. They aren't restricted by emotions: they, first and foremost, consider things practically. In addition tot his, they have great powers (these powers vary from Contractor to Contractor. Some of the abilities viewed are the ability to nullify gravity, freeze liquids, creation of storms, time manipulation, and so on) but these powers come at a cost. That cost is called obeisance, or remuneration. Just like the abilities, a remuneration varies from Contractor to Contractor (breaking their fingers, smoking, drinking alcohol, age regression, eating and then spitting something up, eating flowers, and so on). This remuneration is a compulsion, something they must do. Absolutely and without fail, even if they can delay it for a short time.
That said, Hei contradicts all that. While he has the powers of a Contractor, he doesn't behave like one most of the time. He doesn't even have a remuneration. "Is he really a Contractor?" That's the question you have to ask yourself when you watch the series. Sometimes, he'll be emotionless and rational. He'll swoop into a situation and handle it with a certain air of nonchalance and indifference that only a Contractor could possess. Then, other times, he'll do the exact opposite of what a Contractor would do. He'll risk his life, he'll get involved, and he'll do the emotional thing. The human thing. He'll save someone even if it may wind up killing him, though more often than not he'll make an excuse for it.
Throughout the series these conflicting views are isolated to his two personas, "Hei" and "Li," but as the series goes on the lines between the two aliases blurs. Though I suppose it may be easier for me to go over the base personalities for both before talking about how Hei blends them together, no?
Of Hei's two demeanors, Li is the easier to explain. Li Sheng Shun is an exchange student (or so he claims) with a million and one jobs. He's dedicated, hard-working, and he tends to be a little bit on the average side. He's the type of guy who some might consider to have little luck, or to be easily overlooked. This is because that's how Hei wishes to appear. He wants to come across as very normal and ordinary, and he dresses to match that image: baggy clothes to hide his well-built body, a slight slouch to detract from his height and give an overall feel of ease. He moves slower, speaks slower, and often makes disarming faces, statements, and mannerisms. Personality-wise he can change depending on his assigned mission, but Li is more or less the same each time he pops up. That is, he is always disarming and he always knows how to attend to people's needs. For Chiaki from episode 1, he's a man that saves her and is willing to listen to her, to help her out and be there for her. He gives her a person she can lean on and trust when she's alone in the world, and he protects her against the people that try to kill her.
For his landlord, he's a good boy and good student. He takes out his trash in the morning, doesn't drink, and doesn't lounge around all day. Even though he keeps to himself and doesn't socialize with his neighbors, he smiles pleasantly and he makes small-talk with her, if he has the time. He'll indulge his landlord and allow himself to get carried away by her pace (mostly in episode 1 where he shows up on her doorstep and she drags him inside thinking he's there to repair the TV before he can get a word in) and the same is true for his jobs. He'll talk to his coworkers or show a certain amount of clumsiness or hopelessness (as he is hopeless, not that he's depressed) to further disarm people.
That said, how Li appears to the people he isn't trying to convince of his normalcy and the way he appears to those he is is different. Even though Li smiles and greets his neighbors, he doesn't actively try to get involved with them. There's no need for him to get involved with their lives so long as he can maintain his identity as "Li," thus he makes no effort with them. When they ask him to come join them, he always declines and always walks away. This makes them think he's uptight and stuck up, at least until one character gives a different opinion. They say that Li looks lonely when he leaves them, an emotion Li/Hei has no need to falsify. Any sadness or loneliness on his part is an oddity, and it's very likely he himself doesn't know if he is lonely. That said, it's more of a oneshot comment that doesn't really come up again. There is, however, a general look of loneliness about Li. Of course that could be because of the art style.
Now, as Hei, he is by far less expressive and less emotional. He operates on the assumption that he is a contractor and should act like one. So he subconsciously kills off his emotions. This means not caring about killing others (though it does depend on the person), killing for his missions (same as before), and tricking people. He does what he has to because he's paid to do so. Hei is ruthless in most cases, though also very indifferent. He reacts to things in a very matter-of-fact way and holds himself with an air of intimidation and mystery. The intimidation is with his clothes (upright posture, all dark clothes) and mystery with his mask. He doesn't hold back his opinions or his words for others benefit and he doesn't pull his punches. He'll speak to someone plainly, even if his words are crude or harsh.
Basically, he tries to speak in facts and assessments. He'll aim to say the practical thing, or the objective thing, and he'll do it without wasting words. However, he can show compassion: at times he'll encourage a person not to kill another, or he'll purposely hold off on killing someone he doesn't believe to be worthy of death. Hei is level-headed, calm, controlled, and doesn't get over involved or emotionally invested. He can be surprised, he can be kind, he can be upset (he shuts up and shuts people out, or at least he shuts up and shuts Havoc out), and he can be really pissed off. The last of those happens when his sister Bai comes up. He doesn't know what happened to her or why she disappeared, he only "knows" that Amber betrayed her. So the topics of Bai and Amber will make Hei irrational.
Which makes Hei more emotional in general than Li, to some degree. Though this may be because of the mixing personalities. Li can be distant, cold, and angry whereas Hei can be soft, quiet (in a more Li-like way than the severe way he normally presents), and kind.