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"'Yes, I know,' I said with something like despair in my heart, but bowing my head before the faith that was in her, before that great and saving illusion that shone with an unearthly glow in the darkness, in the triumphant darkness from which I could not have defended her—from which I could not even defend myself.
'What a loss to me—to us!'—she corrected herself with beautiful generosity; then added in a murmur, 'To the world.' By the last gleams of twilight I could see the glitter of her eyes, full of tears—of tears that would not fall." (3.62-63)
The Intended is so blinded by her love for Kurtz and her idealism that she immerses herself in the lie she created and does not even consider questioning its veracity. Marlow does not dare destroy her beautiful illusion, even when she goes so far as to call his death a tragedy on a global scale. (Er, there is a global tragedy here—but it's not Kurtz's death. It's the destruction of a continent.)
"She put out her arms as if after a retreating figure, stretching them back and with clasped pale hands across the fading and narrow sheen of the window. Never see him! I saw him clearly enough then. I shall see this eloquent phantom as long as I live, and I shall see her, too, a tragic and familiar Shade, resembling in this gesture another one, tragic also, and bedecked with powerless charms, stretching bare brown arms over the glitter of the infernal stream, the stream of darkness." (3.73)
In case you weren't sure, Marlow tells us that we're supposed to be seeing some parallels between the warrior woman and the Intended, who both want to believe that Kurtz reciprocated their love absolutely. It's interesting that they both want the same thing when they live in such different worlds, right? Women.
[Marlow to the Intended]: "'The last word he pronounced was—your name.'"
"I heard a light sigh and then my heart stood still, stopped dead short by an exulting and terrible cry, by the cry of inconceivable triumph and of unspeakable pain. 'I knew it—I was sure!' […] She knew. She was sure. (3.85-86)
To Marlow, all this is just one more piece of evidence that women don't get it.