I'm not sure if Michael and Sherly Crow were ever romantically involved. But when Michael was in the UK for the Bad Tour, he stayed at the Mayfair Hotel. And on Michael's first or second night their I saw Sherly come out of the hotel and get in to a limo with a big smile on her face. So I think she got to know Michael a lot better than she say's she does, even if it wasn't very close.
In general I don't think people in Michael's band on the Bad Tour, got to know him beyond a work basis. Michael has said he's not a social person, and I think most of the bad respected that, as he kept a lot of that band in one for or another on both the Dangerous and HIStory tours. I think a lot of things Sherly Crow has said about Michael, though no where near the worst things said about Michael, are quite nasty and untrue. Even though when say's talked about Michael performing on the Bad Tour she has often said he's a genius.