I can’t remember if you get to see any of Albato in the first episode. I don’t think you do, he turns up later, through all you really need to know is that he was Robertine’s fiancé.

And that locket being Robertine’s locket would presumably have a photo of Albato in it, which adds a whole new slant to his holding on to it as a memento of his sister.
Ouch, that’s quite messed up actually.