What if it's not sin they're attracted to, but rebellion. The same reason they sided with their leader in the first place. Not because they had a good point, but the act was so deeply satisfying to them.
That would make the heavens and representatives of the gods very strict, authoritarian places by contrast. Of course they'd lable any disobedience as "sin".
@Nezchan That could be interesting. A touch of Paradise Lost.
@DaveHiggins
In D&D terms, they'd be less oriented to evil (mostly), but neutral.