I don't intend to destroy your theory Chloe, I just wanted to point out that Nero may have been talking in a cynical sense or just as a figure of speech...
I would honestly have expected the DMC world to have an opposing force to that of the demons, but it just doesn't seem to show it if there is one... and the people of DMC's world don't seem to appreciate it much either, if there is one. The manga has the closest parallels I've seen so far to the idea that there are opposites to demons, but when Moses and I compared translations of Code:2, they didn't seem quite right - the Tokyopop English translation looked like it added words like 'angels' and 'heavens' in afterward to draw parallels to Judeo-Christianity that sound a bit different to the original Japanese version. I'm not surprised, and I'm not surprised either that they still managed to keep it really vague. And we know the mangas were an afterthought, so I think originally DMC was probably conceived as just being a game involving two worlds warring with each other, humans and demons.