Bro, you do realize the government doesn't actually know anything about Loki? It's not like they have some interview of him or something. They probably just assumed he would join because they think everyone wants to be a celestial dragon or something, and his dad was a Knight of God. Gunko and Shamrock were shocked when he rejected him,and then tried using his animal friends as hostages etc. No one was sent to kill Loki, they were so amazed with his strength, the WG wanted him on their side in the final war, despite being racist as fuck lol.