User blog comment:B214/High School DxD DX.4 discussion/@comment-31035098-20170701041155/@comment-10330822-20170714084855

I figured as much. I recalled that when the children told Azazel about his and the Four Satans fate in such a vague manner, we didn't know at the time that they were going to be sealed, so we didn't know what to think.

So, that makes it pretty clear it was pre-Volume 21, when he was sealed.

That also hints that Azazel was teasing Elmenhilde about her interest in Ise "because" he experienced EX, so he knew she would be having a daughter with him in the future.