This makes sense. We know witches are generally outcasts, a lot seem to be so for being queer. Even if Imuri and Josh are happy, that doesn't mean the world or the Church have suddenly gotten better for outcasts like them.
We probably don't know if Heaven accepts the queer, but the Church certainly acts like it doesn't and so they have no choice but to believe the world is hostile to them, so why not be hostile to the world?
I still think it's absolutely brilliant to have Vergil as one of the main characters of this story.