Dio Burning Canyon is the highest order of the family who desires pure destruction and fighting despite being a "moderate". He is rather calm, alert, and extremely prideful, often gloating about his power. He also does not concern himself with "weak creatures" (humans), but despises "insignificant beings" who "are in [his] way".
Dio eventually sensed something wrong at the time of Victor's Fortress. Ley of the Crimson River quickly followed in order to locate Dio to secure his allegiance with the moderate demons. At the Relics of Kounat, the Grand Chase encounter Dio and impress him with their abilities in the following battle, and soon the demon decides to join them to pursue his "private interests".
Alfred is a fiercely loyal servant to the Burning Canyon family, following Dio's orders with little-to-no complaints and some concern. He is also listed as one of Dio's likes, possibly due to his loyalty.
Sebastian is a weak servant to the Burning Canyon family, often complaining and pointing out the obvious. He is listed as one of Dio's pet peeves possibly due to his whining and constant fretting which could irritate his master.