Maybe, Halsin had spoken with Zevlor about it before sharing this info with the protagonist and Zevlor made his choice. Shadow Curse sounds bad enough but the Underdark is not a safer option: all tieflings will be killed, enslaved and tortured by drow or enslaved and eaten by duergar. Also, there is some datamined information (plus an odd message in a bottle you can find in the Underdark) suggesting that Zevlor may be a self-serving bastard in a good disguise, so it's also possible that he was well-informed and he chose this road intentionally. In any case, it definitely feels like there will be some sads inviolved: there is a reason why Act 1 spent so much time on providing us with opportunities to bond with tieflings.
