I was wrong.
Lucifer has a multi-layered personality.
When he told Setsuna that Setsuna's way of loving is clumsy and stupidly straight-forward, and that that was a part of his being, Setsuna was moved from a state of despair into full acceptance of his own feelings. The memory of Kira telling Katou that he was a weak piece of trash was what allowed Katou to break free from Persona's control. It's small wonder Lucifer's so hung-up on her. He doesn't seem to know himself whether he hates her or loves her. She also called him a liar when he claimed to hate Alexiel.