The Grail is supposed to be a purifier, if Nic were to drink from it could theoretically purify his soul, allowing it to enjoin in everlasting bliss in heaven, rather than going to the Bad Place upon his demise. Nic is obvious afraid of this hence the noose, and the fact that Deidre went to Hades realm in safety rather than the Bad Place was the reason they went through with heist. However he knows Harry knows the loophole of the noose, so once again Nic needs a new escape from Hell.
If the Grail was his get out of Hell card, and escape Lucifer was the Spear to be a weapon against Lucifer. Did Harry prevent Nicky from killing Lucifer?