To be honest, Roy was under a lot of mental pressure facing a Horseman of the Apocalypse.
When he first came to this world, he was still a middle-rank demon, so he did not dare to meet War, one of the Horsemen, and had avoided him early.
Now, Roy had become a high-rank demon. Although his strength had risen another level, he was still unable to deal with a Horseman of the Apocalypse. Take Death, the leader of the Horsemen of the Apocalypse, as an example. He had easily killed many demon lords and fought against Demon King Samael at his peak.
As the only female among the Four Horsemen, Fury was not a pushover. Although her overall strength could not match up to Death, it was obvious that even if Roy and Julia, two high-rank demons, worked together, they would not be her opponent.
Therefore, Roy was not stupid enough to fight Fury.