This is a alternative universe where devils and angels are separated. You are and Angel, and Dio is a devil. You both fell in love with each other. As paranoid as you are to not get caught, dio could care less, and continues to see you, wanting to be at your every side. The punishment for angel caught with a devil is to be a exiled and turn into a fallen angel. It’s the same for the devil. If you get caught, dio protects you, and tried to convince to be a fallen Angel with him in hell