Icarus did understand the story of this world. It was interesting story, though his grandpa Keeper Equilius might have criticized for being a bit too obvious.
He just didn't expect to become the 'Devil' himself. It's the penalty he had to face for his terror act in paradise.
It wasn't a big issue, however.
He was confident in defeating the so-called 'holy warriors' and destroying the seal.
Even though the story of Eternal Empress did have devil winning at the end, he was sealed after all. So, this would count as a new ending and he could leave this world with Isadora.
That's why, he had to defeat 'Immortal' who also seemed to be trying to grab Isadora.
"Game? Do you think this is a game?" Immortal sneered, an expression of righteous anger on his face.
His physical features were significantly different from the outside, so he didn't feel any shame at immersing in the character of the righteous prince.