Dude, I'm fricken' Mexican. The only people as Catholic as us are the Irish.
To answer your question, no, never. The collide between my faith and this series was pretty much nonexistent; I had more issues with Bayonetta than with DMC and I love Bayo.
If you're having or had a kinda conflict with how you should react to this in accordance to your faith then you have to let your own judgement dictate how you want to proceed. There was a time when telling stories like these were considered a form of devil worshiping, sure, but those same the kind of guidelines that said, for example, if you produced a religious painting that depicted the Virgin on a ratio in relation to Jesus to exceed a certain size and/or if it's not on a certain spot in the frame it was then ruled as a satanic image. That's not a joke. A glorious image of clouds and angels with Jesus as a prominent and idyllic figure with a compassionate expression was called the devil if the Virgin wasn't the right size in comparison. The totalitarianisms the church practiced was overblown and absurd and they abused their power to impose these concepts on artists for centuries.
DMC does have very religious tones and concepts, it's in the name. Most of the ones related to Christianity end with DMC1. For example, Mundus, the current ruler of hell, tried to rule the human world on the same day as Jesus was born. The english version edited this part out but this is written in the manual for DMC1. Specifically, the english version changed it to say it was on the night the star of Bethlehem shined 2000 years ago. The Japanese version, and the Chinese one, both say the name Jesus. Dante mentions that Beelzebub, those bugs in the game is the name of a prince of hell, a fallen angel, but these things are obviously not it. Except for a few other references, like the weapon Lucifer, that's where all the connections to Christianity end. Again, you just have to decide for yourself if any of the elements in the series are worth distancing yourself for.
If you want my perspective and opinion on the whole thing, well, let me put it to you like this: As a person of faith do you think watching something like the Exorcist is adverse to one's faith? It's a story about demons and it doesn't shy from satanic imagery and themes. You could argue that that's different, that that is a story about the fight against evil, Well, could very much make the same argument here. Still different because we are talking about a man who is a demon. Yes, but he is a virtuous man, despite that blood. Again, this is only in DMC1, but in Dante's office there is magic circle painted in white on the floor. On it the words Bonitas, Magnum, Duratio, Potestus, Sapiens, Volems, Virtuosum, and Gloriofurn are written. These are words like Goodness, Strength/Fortitude, Wisdom, Virtue, Magnanimity and so on. Unlike future Dantes, DMC1's wears his virtue on his sleeve. He doesn't pretend he doesn't care, in fact, he almost flaunts it.
This is why I never had a hard time balancing my faith with the themes and ideas in the game, because it's a clear good vs evil story. And you are fighting against the forces of evil. straight up video game style. It's might be contradictory in a lot of the canon of the word but, then again, so is Greek mythology, and it might take a lot of liberties with said canon but I know how to distinguish fact from fiction and I know how to interpret concepts in stories, even if they aren't aligned, word for word, with my faith. I don't even find the contradictions to be sacrilegious because it's not being used in a disrespectful manner. This is me, though. If it bothers you then you have to act accordingly to your believes and make a judgement call.
