How would Brynn and/or Zariel react to a demonic entity entering Valhalla but having no intention to battle anyone?
brynn wouldn't actually have anything against them, I don't think. she isn't explicitly an "angelic" sort of character and really only happens to be good in the sense that she works for odin/valhalla. moreso i think she would be interested in them and try to get to know them, as her motive is moreso "prove herself to the other fullblooded valks and the rest of valhalla that she's as good of a valkyrie as they are" and a demon coming in wouldn't really affect that. ...unless someone else in valhalla would want to use brynn's amiability to try and get closer to the demonic entity.
zariel would be more inclined to violence methinks. even though we don't know anything about how they think about cross (fights with a demon) or onyx (actual demon from hell) being in valhalla, i think that they'd be more suspicious of a passive demon because the first two are here to fight in valhalla and become part of odin's army, but a passive demon could be a threat in disguise. could they be trying to tear this place down from the inside? are they trying to weaken the army? who knows. but a proper warrior of palladium should be wary of any and all demonic entities. zariel wouldn't jump to violence at first, rather they'd precede it with caution, observation and analysis of what they're like and what they want first. but yeah if they think it would be necessary they would throw hands.