To the novel readers does it take a lot for Shen Li to learn who Xingyun is ?
She figures it out soon. But he denies his feeings for her as he hasn't figured it out yet. Remember Xingyun said "you talk as if I agreed to be together with you" when they parted in the mortal realm. As an Ancient God, he probably thought the feelings would pass.
There used to be Beasts in heaven which cultivated with the spiritual energy, took on human form, and became "Immortal" (but since they were animals that took on human form, usually referred as demons). In heaven, there are also Divine immortals which are earthly humans that cultivated to the heavens and became immortal - the ones we normally see in Xianxia with the Celestial Emperor, God of War, etc. They don't get along with the demon Immortals because of constant wars in which they were fighting for control of the Heaven realm. Then way up higher in heavens, reside the most powerful Ancient Gods that were created with the world, so all beings have to revere them. So Shenli is supposedly born of Beast (phoenix), and raised with (demon) Immortals. After many military achievements, she was given a Lordship title of Lord Bicang (lit translation: Azure Sky King). It's very prestige, as in Chinese she is often referred to as "King", which is why people generally mistake her title/name for a man, since Kings are usually men.
In the preview, what did it mean with xingyun saying he messed up the marriage book / record? Something about…
He arranged the marriage she is running away from, and it's cuz he thought her name was manly. He thought he's marrying a demon general Lord Bicang to an immortal princess Furong, but it was all wrong. Turns out its a female general, to an immortal philandering prince, so of course she'd run away.
Actually, he did it precisely so that she would be forced to go back , and get married. She'd have been able to…
He established it without knowing it is her, and only realized after hearing all that about the running from marriage and found out she her real identity. He can't do anything to stop her as a mortal anyway, only the little acts he does to delay her leaving.