I'm not sure Lico is as heartlees as people make her out to be. From not killing the magical girl originally and instead running away. Legit helping Shamiko and Momo even if she also teases them. She was even kind to the magical girl originally, in her own way. She is sadistic, but I also think she is traumatised and desensitised by her past life.
Killing invaders makes perfect sense, why spare someone who could come back and kill you when there is nothing to gain from it? She was already spared once and came back.
Don't forget this is a world at war, where demons are hunted mercilessly. Lico's mindset isn't entirely wrong.
Even Momo thinks or at least used to think in much the same way, she was willing to destroy an entire mountain and kill a demoj to get Shamiko back. In fact Momo and Lico are very similar people. Both very powerful, carry a lot of trauma, can be quite selfish, yet are also quite kind, are ruthless, in love with a short dense demon boss, were saved by a short dense demon boss, but otherwise have contrasting qualities. One cooks, the other can't, one is always smiling, the other often does not. It's almost like the two are meant to be mirrors of one another.