If they have an actual army and fortress themselves, especially one in another plane, then they're basically untouchable by mortal kings. You may need to think in terms of politics or extraplanar powers to get appropriate challenges.

By the sounds of it they like conflict, discord and battle, so you could have a fiend come and offer them a chance to help fight the Blood War, the immense and perpetual battle between devils and demons either in one of it's proxies or one of the actual battles in the lower planes.

They're incredibly powerful individually by this point, and can access places fiends normally have trouble reaching, slay generals and commanders of the lower planes with some difficulty and slaughter hordes of lesser fiends.

With the patronage of a powerful lord or the lower planes they could even become strong enough through such a war to disrupt the natural balance of the planes, and possibly help one side achieve some great and climactic victory over the other, such as leading demons to seize the first layer of Hell from the devils, or helping the devils form a great bastion in the Abyss.

Once that's done, and the basic battlefield of the Blood War is changed, there's less stopping the side they aided from looking to the other planes with thoughts of dominion and war.