They're afraid of the sister because she's psychotic. Remember, we're seeing them rape and murder while laughing, but the difference is - to them THEY ARE THE GOOD GUYS. They think they are good and just heroes saving the day, and having a little fun on the way.
They play at having morality and make exceptions for the things they do, where she is unrepentant and enjoys pulling apart their false ideals. She's a fucking psycho and she KNOWS she is, and she's reveling in it. Ruthless, soulless efficiency combined with practically orgasmic joy in all the atrocity she commits on friend and foe alike. The very definition of a monster. The other three are monsters playing at being human, but she's just out in the open.
The victims in all this are the demons being wholesale slaughtered. It seems like they may have been completely innocent and are getting genocided to acquire their resources on flimsy principles.