Lucio is a mysterious young man who appeared before the crew as a former stage actor.
Even though he looks like Lucifer, it's been officially stated that he's not the same person.
Ever since the event of "What Makes the Sky Blue" and appearance of lots of characters sharing Lucifer's face (similar to the infamous Fate series with lots of Saber faces), a term "LuciFace" became popular within the fanbase.
Spoilers! Continue reading at your own discretion.
It was later revealed in the event "What Makes the Sky Blue" that Lucio is the original. He was made by Omnipotent and serves as the speaker known as Helel ben Sahar, spreading omnipotent's words to the mortals.
He doesn't interfere the clash between astral and sky god as he serves only as a observer, but when his astral, Lucilius, tried to end the world, he tried to stop him by negotiation but failed.