Who said that? Evil can love...hello, the whole Tarquin/Elan thing? The question is how can a two thousand year old entity love a mortal? She's on record as saying her entire existence is as an evil incarnation of illicit sex. Her body isn't even real, it's just something she puts on to catch Nale's favor. Sabine isn't anything close to human. "She"'s magically animated flesh in the shape of a woman. Sabine is a thing, much like Xykon in that respect.
Even if Nale wins and lives happily ever after with Sabine, it's not like he won't die. They can't even have children (or can they! ) Maybe Sabine is always falling in love with mortals and has a few dozen of their souls stashed away on the lower planes.
Being EEEEEVIL has nothing to do with it. Being two radically different beings with nothing in common (besides evil, eh?) does.