Head canon ♥ It matches a lot of things I've thought about Dio myself.

I wish I could do the same for Alex and Sophia, but the way my brain works back stories for them change all the time depending of the fic I'm working on.

One thing I did come up with between Sophia and Dio, is that since Sophia seems to be the sovereign of the entire Antoray-Disith alliance once Dio was well enough he was like "Hey HEY 8D you can have the Guild too ok!" handed her everything and disappeared for a while.

She was annoyed, but having gotten to know Dio completely unsurprised. Though he did make several random "You better do what she says, and not cause any trouble." surprise visits to the guild if it looked like they were getting ideas.