User blog comment:B214/Question and Answers 2/@comment-4547267-20140227220900/@comment-1359322-20140228004814

Issei's parents doesn't know Rias and the others are Devils, it's to protect them after all, they just thought that Rias' family is really rich. They could just manipulate their memories after all.

@Otaku, Issei's parents were just worried that Issei wouldn't get married because of his perverted tendencies and association with M&M which resulted in him being hated by female. Sure Issei's father did say that he wanted a harem in the past and is happy that Issei is achieving their dreams that's all. As to Issei's mum, that is the dummest thing i read among your comment, Issei's mum only wanted her first grandchild to be a girl not wanted 40 grandchildren.