If she's that nice why is she threatening him and keeping him hostage? She could have resorted to that after talking with him genuinely first and requesting his help and explaining things (that she isn't just slaughtering them, but rather purifying bad ones). I guess she assumed all demons were well, demons and evil, like what he thought about angels, so treated him as such, but once she sees he's a good guy there's no reason she's still abusive to him.
As for him, stockholm syndrome?