Good question. I actually like Choice of the Star Captain a lot and Lloyd happens to be one of my favorite characters in interactive fiction. That’s an interesting idea that I had been toying with myself, but I don’t think Zaleth would go so far as to try to kill you or possess you.
He wouldn’t kill you because then he would no longer have a place to stay and would be forced to go back to the Netherworld, where he would be tortured and tormented by more powerful demons. (He’s just a Peon, the lowest rank.)
He wouldn’t possess you for a similar reason: even though he would have control over you, which would be great for him, it would be much more likely that a demon hunter or wizard would find him out and banish him back to the Netherworld. When he’s hijacking you, he can talk to you, hear your most obvious and unhidden thoughts, and occasionally grant you demonic magic in exchange for control over you for a very short amount of time, but he isn’t so blatantly attached to your soul like when demons possess someone, so he can “hide” from demon hunters and wizards and it’s almost impossible to kick him out. I hope that makes sense.