Dio, born Ronald James Padavona, in New Hampshire, but raised in upstate New York, was raised as a Roman Catholic. In an interview he gave years ago to Heavy Metal magazine, he discussed this quite frankly:
HMM: "How has your Roman Catholic background inspired, affected or driven your lyrics writing."
Dio: "It's given me a lot of religious turmoil in some of the songs I've done. I never agreed with the message of the Catholic church, and still don't to this day. There are some things that are fine, and what I think is very important is the moral upbringing of the young people. But I mean, you could send people to the church of silly walks, and they're gonna get that. I just disagree so much with the way the Catholic church says things like if you're not a good person you'll die and go to Hell, there's a purgatory there . . . if I was talking with a Holy Ghost, it would scare the living Hell out of me. God's Son was nailed to a piece of wood up in the air . . . instead of really explaining it all, I think, at least from my perspective, they frightened us first, and then we're supposed to just believe everything, and follow the rules or you'll burn in hell or something. And I just totally disagree with that. I disagree completely with that idiom. The whole attitude about birth control -- I mean we are a country that took about 10,000 generations to reach the population we have now, which is 4 billion, and it'll only take a little over 1 generation to double it, but yet, you're supposed to not use birth control -- let's have more children! So, the Catholic church, though I think it's important that people grow up with moral values, I just always disagreed with their tactics, which I thought were fright tactics, as opposed to sitting down and explaining the situation" (underlining emphasis mine).
HMM: "What do you think of Jesus Christ?"
Dio: "I think that He was a prophet. I've had a difficult time coming to terms with Jesus Christ as the Son of God. He was a great man for the time... The thing that bothers me about taking that conclusion is that most of the general statements that Christ made, you can look at the dead language of Greek at the time it was used, and the writing styles that shifted around 50 A.D., you can pretty much date parts of the New Testament. Then His whole claim to be the only way wouldn't make Him a good prophet, because like a lot of Muslims believe that Jesus was a great prophet in the lineage of prophets. But a good prophet is not gonna stand up there and say, "I'm the only way to the Father." He's either a lair or He's a crazy man."
I do not know if he intentionally or unintentionally employed C.S. Lewis' assertion that Christ is Lord, liar, or lunatic. Nonetheless, Dio tries to split the difference by saying that the New Testament distorts what Jesus really taught. How anyone would know what Jesus really taught apart from the Scriptures and the constant testimony of the Church, I do not know. Of course, there is nothing really earth-shattering in what he says, but it shows the sad results of what happens when we reduce faith to morality, which we do too often. I, too, reject that idiom. When presented that way, it's easy, as Dio shows, to Just Say No."
As Fr. Timothy Radcliffe, OP, wrote and often reiterates, until people come to see/understand/know that God loves them, Christian morality does not make any sense. Think about the incoherence of people who see religion only as a means of instilling moral values in children, but reject the more salient aspects of faith, like Jesus is Lord and Messiah. What, or, more precisely, who grounds, guarantees, gives morals any value? I don't post this to denigrate Dio, but to demonstrate an attitude that is very pervasive, all too pervasive. I give Dio credit for being honest. I can't begin to count the number of times I have spoken with parents preparing to have their child baptized, who, when I ask them why they are seeking to have their have their child baptized, especially parents who don't practice the faith themselves and who are often neither confirmed nor married in the church, invariably begin to talk about the need for moral values.
There is also something to be written about the quasi-religio-liturgical nature of rock, a criticism gently suggested years ago by then-Cardinal Ratzinger. When some people say, "I sold my soul to rock n' roll," they mean it literally! Don't get me wrong, "I love rock n' roll. So, put another dime in the jukebox, baby!"