Did you read the note for Zagred's Limited Invulnerability?
It literally states you need prerequisites in order to harm his heart
Note: To harm the heart of a Devil, attacks from Arcane Stage and Saint Stage mages are required. In the case of cross-verse matchups, one must fit the criteria of either of them, which are the following:
Arcane Stage: Arcane Stage encompass mages who have deeply tapped into Forbidden Magic, and mages with the ability to interfere with the otherworld. For the former, characters that are able to borrow the power of what would qualify as a Devil in their respective verse (Unholy Manipulation) should be able to arm the heart of a Devil. As for the latter, not much is known as of now.
Saint Stage: Saint Stage is a stage only Spirit users can achieve, they can destroy the heart of a Devil by cleaning/purifying evil. As such, characters with the ability Holy Manipulation or Purification should be able to bypass the Invulnerability of a Devil's heart.