Moxxie's not really that hard to make cry, he has a lot of confidence issues and will cry when frustrated or when those are prodded at too much.

He also cried when he found out Blitzo didn't like CATS, though he was drugged at the time

I imagine he'd cry if anything ever happened to Millie

Blitzo also cries, but not as easily as Moxxie. While he did the dramatic comical crying when he was forced to tell Moxxie he didn't like CATS, he doesn't generally cry much in canon, but he did cry after the terrible date with Stolas when he was flipping through photos and came across a photo of him, his sister and his mom

oh moxxie

I'm sorry. but it really was just about horny cats

It was, but he won't accept that, he'll only accept that it's a masterpiece

XD