When in a trance-like state, Shido asked Mana if Mio had helped her out when she was captured by DEM. From Mana's brief flashback, they seemed to be close friends, if not acquaintances. However, Mana's memories are currently too fragmented to remember anything specific about Mio.
Mio was first mentioned by Shido to Mana when he lost control of the Spirit powers sealed within his body. But during the events of Mukuro Planet, Shido could only remember the affection she had for him.