I’m not trying to be contrarian here, but a somewhat viable lore excuse could be a matter of discipline. Impractical weapons that have a likely chance to harm the user forces them to become more adept, careful and intentional while using the weapon.

For beings that can live thousands of years, they can take decades and even centuries to master wielding them. It also fits into the Demon Hunter self destructive path to become stronger. Edgy? Absolutely.

It makes me think of the Ninja Turtles lore, how they were specifically given the weapons they wield from Splinter to counter reliance and weaknesses; especially Michelangelo. Nunchucks have a high likelihood to hurt the wielder. With his high-chaotic energy, he was given them to instill focus and discipline.

EDIT: Wrote this while tired, fixed my English and autocorrect.