TLDR Morally Grey is fucking boring and i'm MATI about it.
Morally grey is fine. If narrative was entirely black and white, we'd have nothing but Saturday morning cartoons.
The originating text that has more or less shaped our perception of Christian heaven/hell, Satan, etc. up to and including the Diablo series,
Paradise Lost, has elements of that nuance, and John Milton was a devout as fuck Christian.
The problem is more of a postmodernist/progressive take on narratives. You can't have a classic tale of good triumphing over evil because it's cheesy, hokey, whatever. Instead, you need a 'dark' or pyrrhic ending where 'expectations are subverted' or 'no one wins' or whatever.
Paradise Lost, while it had a 'shades of gray' character with fucking Satan (Lucifer) himself, who had motivation, was rational, convincing and employed rhetoric, the end result was still the Son of God kicking his ass and a sort of Terminator 2 "Our fate is what we make it" vibe for Adam and Eve.
A current year writer Paradise Lost in 2023 would have had Lucifer triumph, Adam and Eve getting cast out of Paradise and Adam maybe trying to kill Eve or Eve knowingly being in league with Lucifer 'all along' and how she some stronk wahmin who is just so 'badass.' End scene.
No redemption arc, no final clash of good triumphing over evil. Just this downer wah wah note.
TL;DR: Morally grey only works if you have an appropriate payoff in the end. Otherwise it's just a bludgeon used to try and cover up hack writing and doing it half-assed doesn't work in a setting like Diablo's where you're dealing with manifestations of pure evil.