"There are very, very few options for things that would be a threat to me."

Not even the other Gods, as far as he is concerned. Because his upbringing and cultivated interactions and curated remarks means that he considers them more than slightly inferior to Asmodeus.

Which means his thoughts are not traveling in a direction entirely different from Zerxus'.

Then maybe I should light one before his quest to 'save' me becomes the threat to me.

Actively distrustful of his father? Very much so, and he hasn't even cracked open a book, yet.