Thoughts:

• Cio’s design here is a bit similar to the very first White Chain design, in that her helm covers/closes both her eyes. Given how symbolic that was for White Chain, and that White Chain’s eyes opened as her mind opened up, it’s also likely symbolic here
• Cio’s design also, like White Chain’s, has a design on the forehead that could hold a stone. Granted, she had one before, an ordinary one–but I wonder if she might end up getting Gog’s. That would make both White Chain and Cio hold the keys that are possibly closest to their natures as angel and devil…or at least, opposites to one another
• Cio’s design here is like a preying mantis, and as we know, they eat their mates
• Cio’s teeth here are more purple than blue, as if they’re chips of ebon devil

Someone on the official site mentioned that pink might associate this Cio with Incubus.

I think that’s very possible. It would be very like Incubus to take advantage of someone’s Want when they are powerless, and Allison left the pieces of Cio’s mask right there with him. And it would be very “Incubus” like (in the more general use of the term–demonic lover that comes to you in dreams) to use someone’s lover as a weapon against them.

Also, demons don’t die like humans do, they are “banished to the void”. Only humans are true mortals.