I think that it would be silly for there not to be more. What kind of underworld only has a few dozen demons in it? My guess is that we're being imprisoned within a prison. Or shielded from something worse.
He's not punishing us through his own volition. When we find a way out, he's coming with us. [ that isn't a question he's considered. There's a goodness in Lucifer, despite every reason to ignore it. ]
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[He gives a curious look.]
More demons beyond the cult?
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[He lets out a breath.]
I wonder what could be worse...
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The evidence is all lining up to support it. The idea that he himself is our willing jailer seems like a misdirection.
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Do you think he would be happy merely leaving with us?