Well, don't they know that he's a demon? I am certain the higher ups know who Mephisto REALLY is.
Also, why would Mephisto sacrifice himself to save Rin? We don't even know what he's gonna do, we don't even know if he's using Rin for evil or good reasons. Yes, we can tell Mr. Pheles has reasons to keep Rin alive, but apart from that, we don't know what for. It certainly isn't brotherly love.