User blog comment:B214/High School DxD EX/@comment-201.239.133.207-20170104020556/@comment-10330822-20170105000248

Crimson is right. Most of the children are children of Issei's mistresses. Even if they are married, noble tradition dictates that unless Ise and Rias adopt the children, they are would not share Issei's last name, "Gremory", even if Ise acknowledges them as his own.

Asia and Ravel, took Issei's original last name and married into the "Hyoudou" family, not the "Gremory".

Another way to look at it is that the girls are probably all well established in their own right. So they are probably High-Class or Ultimate-Class themselves, so the children are heirs to their households, while Ex is the only one who is actually Issei's heir. Hence why Ex is known as the "Red Dragon Crown Pince" and actual shares Issei's name, because he is the son of Issei's legitimate wife.

This would explain why you have children of mistresses, like Magdaran and Venelana have the Bael name, because the wives of the lord are nothing notable by themselves.