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Well they are devils... and Rias noble as well, with the Gremory family known to be eccentric (but then I think most of the noble cast in DxD are eccentric)
In the DxD world, devils(side) are a race of people who value pursue to their desires. Ever since the end of season1, why Rias wouldn't want a HQ Ise Dakimakura every night is beyond comprehension.
[mod edit: removed reference to future novel content]
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