He's not used to having a friend who actually believes in him.
Still? I mean I get it hasn't been "that" long, but he's now living in a country where he has the support of like everyone he meets including a whole guild. It just feels contrived at this point. From a reader's standpoint there's also a semantics issue. There's nothing "hard to explain" about any of what the MC was told. What could make sense, and would've been nice to have text for adding this additional detail, is that the MC doesn't how to explain it in a good way. Like he was just dumped a literal world ending prophecy on his shoulders and there's good reason not to dump it on his friend's shoulders as well. The MC could also say that he's worried he won't be believed (that feels like an internal conflict and shows how he's still learning to accept that he has friends who belive in him).
The problem is that it's just "saying" something is strong. I'd like to be shown why it's a threat. Give me a Thanos overpowering Hulk moment where you're like "oh, he's actually strong! wtf?!"
Yes, but that's a horrible example. The MCU had treated the Hulk so poorly up to this point that the Thanos fight really meant nothing despite what the movie clearly wanted it to mean. Imagine if we were in the universe where Disney worked with Fox and did a Fantastic Four movie with Galactus before infinity war. Then we could have gotten that iconic comic book moment of Thanos punching Galactus down (it wasn't bare handed, but still a major feat).
I mean, the only way to do that is to see the enemies being talked about. Since they're all sealed still, it'll need to wait for the seal to break. At which point there likely will be moments of seeing how strong even ordinary devils are, which will then inform you how strong the one that rules them all with its own power must be by relation. So yeah, what was done in this was about as good as could have been done with the information we currently have.
Please don't insult writing by acting like it's nearly that limited. "What was done was about as good as could have been done with the information we currently have." No it wasn't. We didn't even need a flashback or actual story (which would've been easy to work in; even just like a children's story the MC had heard about devils and the phantasms going yeah that's true but way worse). Very simple additions like what were the Devils trying to do (and will try to do again), what was the Devil King's original goal, what did it take to seal him beforehand. Writing is limitless and an author can do whatever when executing a story. This author chose to deliver vague arbitrary character traits that are ultimately meaningless. "yeah that Devil King guy is scary." "really? How scary?" "so scary humans have genetically suppressed him." WTF does that even mean? An explanation that humans at the time chose to never speak of the devil king would be more concrete. An explanation of something gruesome would've been more concrete. The best one I can think of right now doesn't even require that much work: instead of having Claire not know about the Devil King, have her refuse to speak about him. It'd have been incredibly subtle and would've worked very well seeing someone whose actually traumatized remembering (either from having been there or stories passed down among phantasms) and refusing to talk about the Devil King. Especially if that someone is an individual who you normally couldn't pay to shut up.