In the final days of Kounat's existence, numerous portals appeared around the kingdom, gateways leading to another dimension where belligerent demons lived. A faction of the demons desired to destroy Kounat and waged war against the suffering kingdom. However, an opposing faction of demons denounced the wanton violence and waged war against those demons that would destroy Kounat. Dio was a member of this faction.
When the war ended, the demons returned to their dimension and the portals were sealed. One day, Dio realized there was a weakening of the magic sealing off one of the portals and decided to go and investigate. This decision set him on the road to one day meeting the knights of the Grand Chase.
Its noted that both Dio and Shadow have modified arms that can conjure up unique power. The difference is that Shadow is spiritual, the arm is metallic, and it is the right side while Dio's is demonic, the arm is demonic, and it is the left side.
Hirato has a hand extremely similar to Dio's Rake Hand, but is called Aura Hand.