Then, all of a sudden you meet your brother who you thought you left in hell to die (remember Emma called Azrael telling him she had a surprise for her, without telling him about the mc) and the reaction is "ahh so you were the surprise mom told me". I have siblings, if anything happened to them because of me I would never forgive myself in life. Beyond that, it is never mentioned that they thought he was dead, they may or may not think so after all he is not just any human being, he is an angel. The fact that they didn't listen to the prayers is redemption bullshit, no one sought him out, no one went to hell when it is mentioned that they can. Azrael on top of that says that he no longer follows Father's orders because he is not afraid of him, it never occurred to him then to visit hell to know what happened to his "dear" brother that he left there?