The story, for me, ends at finding out your father is evil.
The father is not evil...
If you've ever seen or read American Gods by Neil Gaiman, the game follows that same path for the "gods".
The gods exist because people believe in them. That belief defines the gods, their personality and their powers.
In this case, this version of the devil is the hedonistic, deal making entity that is holds up his end of the bargain. Almost to a fault. At least, that is what he would have you believe.
Not evil as such, more a source of temptation. If you want to see that as evil, that of course is your choice.
In fact, the character points out that other versions of "the devil" and other deities also exist within this game's universe.
So... there would be multiple versions of Odin or Thor or any other mythical entity based on separate groups of people that "believe" in them. I can only imagine that the Icelandic, Nordic and Hollywood versions of Thor would very different. Nick specifically jokes that Odin has seen a bit of a resurgence recently.
I've no clue how this story will play out. Perhaps this devil really is evil. I don't know. But maybe judge this (fictional) character by his actions, not his title.
Overall, I'm impressed by the story telling of this game so far. There are very few actual images, but they are used to great effect. The story is already pretty long and well thought out. Though I'm finding the pacing too slow and not enough variety yet in the gameplay/conversations (version 45b).