That level of insight isn't surprising by now, especially considering the recent change. (Asmodeus claimed that it wasn't his doing, and Zerxus doesn't want to believe him but it feels true. A devil's body and soul are the same, and shift accordingly; the idea that Steve makes him feel more human than he has in a hundred years is terrifyingly plausible.)

It takes him a beat too long to answer a very straightforward question.

"I asked him to make the palace a little more hospitable. It will make adjusting easier, and...make it seem like this was on purpose." Finding a human, keeping a human -

The rest of the Hells really don't need to know that something strange is going on.