[@Stern Algorithm] Probably not Azrael specifically, as he's basically an apprentice cut loose for a special mission. Very likely to have heard of the Knights of Metatron in a "Oh god oh no oh fuck" kind of way. Angels aren't fun to run afoul of, and a whole army of them is a nightmarish prospect.

[@A Lowly Wretch] Az isn't connected to the afterlife, he doesn't even think one exists for humans. For him, angels and demons and stuff are more like primordial energy beings than anything supernatural or religious.