First of all, I thought I'd seen a section talking about losing/giving up powers and getting refresh refunded, but I can't find it now. Regardless, I assume it's possible -- after all, if it wasn't, then Charity Carpenter would still have some spellflinging capabilities lurking on her sheet, right? Or maybe a better example would be Dresden ... after all, he swapped out Hellfire for Soulfire
over the course of the novels, right? Any change to your character sheet requires some justification, with things like skills requiring the least and things like High Concept and Template requiring the most. But characters are supposed to be dynamic, so such changes are legit, with the right story behind them.
Ok, back to your character (or rather your player's character, but you know what I mean). In order for the character to have the original sponsored magic in the first place, she needed to have a Template and High Concept that allowed it. For the sake of this discussion, I'm going to go with Emmisary of Power as the template and "Soldier in Wrath's Army" for the High Concept. As a character touched by Wrath's power, this entitles her to buy the Sponsored Magic (Hellfire, or whatever) power, among others.
Later in the story, she breaks free of Wrath's influence. The GM and player agree that this split is legit, so the character's High Concept is changed, prepending "Former" to it. She is no longer entitled to access to Hellfire, so that is removed. If the character had other powers that were tied to Wrath, then they might be lost, too ... although if, for example, the character was a Sorcerer prior to becoming an Emissary, then it probably makes more sense to just revert to the Sorceror Template.
Some time later, the character draws the attention of Lust, and some sort of Bargain is made. The High Concept is modified again, perhaps to "Playmate Of She Whose Affections Are Negotiable". This now 'allows' her access to whatever powers you and your player decide are applicable; perhaps the ones we talked about above.
So, if she later frees herself again, or transfers allegience (which probably shouldn't be terribly easy to do very often, unless you see doing so as reasonable under your demon hierarchy), you do the same thing again. Modify the High Concept, strip powers that are no longer available, and add new powers.
It's possible these changes should probably take time, too. Losing powers could be fast, since the sponsor is just cutting the character off. Gaining new powers could be slow or quick, depending on how it happens. (For example, it took Dresden a long time to learn Wizarding, but how long did it take to acquire Hellfire?) Or perhaps losing and gaining takes little time (due to it being 'sponsored'), but it takes some time for the refresh from lost powers to recover. (In this case, if the player had previously unspent refresh, then she could spend that on new powers -- thus dropping her to a fairly low refresh temporarily -- then over time, the refresh previously spent on Wrath powers would return, and become available to either generate Fate or to be spent on new powers.
Note that all of the above are ideas, and little if any is RAW. But maybe it gives you something to work with.