Helel is an all around better persona, with lots more attacking skills and more resistances, as Lucifer even has weaknesses, especially against Wind.
Well, Magician Mada and Moon Baal Zebul are obtained if you max the corresponding Social Link, as Helel can only be obtained by maxing the Star link, which is automatical.
For the ultimate Helel, the first three personas are normally obtained through fusion, Lucifer needs max Judgment, which is automatical if you go the True ending route, and max Hermit for arahabaki
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