Ok... What I am posting here could have already been suggested before. My searches for a similar idea have turned up nothing so far, so I'm going to go ahead and put this forth. The main reason for this is that I had an idea for a character based on the idea and thought it would be best to get feedback on it first.
Rogue Angels and Demons
In short, Rogue Angels and Demons can be described as unaligned supernatural beings of the Underworld that have chosen to not abide by the laws of Heaven nor Hell. A theory on the origin of these beings suggests that while most Angels and Demons are typically born with their respective Holy or Unholy affinities, a very small number are born without a definitive affinity. They have the luxury of choosing their affinity, or side, and can strengthen it through years of dedicated training. Some have been known to completely change their minds and switch sides, even after centuries of working towards building a Holy or Unholy affinity; these beings are often referred to as Fallen Angels and Ascended Demons. In the most uncommon case scenarios, Angels or Demons born without a definitive affinity will refuse to choose sides at all; opting instead to roam the Upperworld and Underworld independently. This path is frowned upon by the Hosts of the Underworld even more than "Ascending" or "Falling." Those that choose rule themselves are branded as Rogues and are subject to be killed on sight, thus they typically roam various realms as discretely as possible.
In the past, Rogues have caused both Holy and Unholy psychopomps a great deal of trouble. Being that Rogues have no particular "tastes," they will devour any soul that they find wandering unclaimed regardless of the amount of light or darkness within them. For natural beings that possessed balanced or neutral souls at their time of death, Angels and Demons will allow them time to "sort themselves out" before taking them to their appropriate resting place in the Underworld. The psychopomps designated to collect the balanced souls have had their hands full with keeping the Rogues at bay. Countless battles have been fought to defend souls of all affinities from their threat.