Zolgia's death at the hands of Lars was pretty graphic with blood being splattered on the floor. As brutal as it was considering the above information, it was a long time coming.
Ramsus's plan to extract Mio's power so that she can live her life as a normal human is not only painful but also frightening. The Reveal that Ramsus is the former Demon Lord Wilbert and thus Mio's Father makes this worse.
Towards the end of Volume 7, Admirath attempts to attack Kurumi while she is recovering.
Pretty much the Demon Council unleashing its monsters to attack the demon realm and start a war.
The reveal of the Demon World; rather than an endless hellscape of always chaotic evil bastards, it's a superficially-paradisal alternate Earth with a diverse and humble population of human-like demons. That is definitely not the horrifying part; the ensuing slaughter is. The top .001% of overpowered demon lords rule over all the commoners with an iron fist, and when they're too lazy to go out and brutally torture the civilians to death for politics, they can summon giant monsters to rampage, crush, and vaporize thousands of civilians all at once. They're effectively a second-world country constantly one button press away from the next civil war, with borders defined by human and divine bigoted beliefs that "demons aren't real" or "they're all evil bastards so they can reap what they sow", effectively leaving them to the mercy of tyrants they never had an iota of influence over.
There's also Liala's decapitation of the Demon Council while they are about to vaporize the entire Demon Realm as a last resort following Chaos's defeat.