I'm confused with the latest chapter, I thought Baal and Kalego's brother are working toge...

I think both want to capture iruma, but have different ideas to deal with iruma once they got him.

They're just working together (for now) not necessarily have the same goal. It's a demon thingto be driven by their own desire. Baal wants chaos in the netherworld, Fenrir wants a netherworld dominated by demons (which originally wasn't theirs, it's by deities and others) and drive other races out or eliminate them e.g. humans(Iruma).