I don't think the Cold Rider is Azrai. The Shadow World was (and I quote
from the rulebook): "poisoned by the rise of the Unsurper, a gathering
evil that corrupted their homelands, and they fled to the dalight world
to escape his power. A small number of halflings arrived in Cerilia in
time to witness the battle of Mount Deismaar."

So the Unsurper (=the Cold Rider?) existed before the battle of Mount

BTW, are there no Baatezu-cults in Cerilia? Some humanoids follow
tanar'ri-lords, and the tanar'ri are in a state of war against the
Baatezus, so I think there should be come cults that tries to kill
humanoids. Or?