Because Heaven is fucked. God's been missing for millenia, but apparently he's this psychopath who's keeping this one angel hostage and wants to destroy the world? And there's two psychopaths who are trying to control heaven, both of which are fucking insane. One of them got me killed the first time, and the other one is holding Setsuna's girlfriend hostage and is probably like, torturing the leader of heaven's rebellion. We're gonna go rescue that guy because Setsuna was the dumbass who let his identity slip.
Turns out Hell? A much nicer place. I mean, the lower levels are apparently pretty fucked too, but we're hanging out in the first level with the princess of Hell and it's not so bad.