Here's the plot in case you don't want to bother reading this:
Someone wants to kill Yelena. Valek goes after them and is caught because love has made him soft. He gets out of the trouble he's in because of convenience and because he's not going to die this early in the series. Valek then decides to draw out the death of the villain to show off his knife skills. Valek doesn't visit Yelena because he doesn't want to distract her. End scene.