Dante is taken from the first game so he hasn't reached the point where he would have (not) experienced the Conception. BUT! I think there could be some room for interesting CR if Lucifer recognizes him! (Which again is your choice entirely). Being told by another world's version of the Devil "Hey, I hired you once you test this guy!" would give him the aching feeling of "Yeah, sounds like the sort of thing that would happen to me..."

As a side note: If it ever comes up, Lucifer has permission to know Dante is a Half-Demon. Because, honestly...