It's not entirely clear what the story is with Christianity. There were a lot of prophets and religious leaders roaming around the world at the time of Christ, and the carpenter from Nazareth didn't really show up on Heaven's radar until the story was mostly over. Gabriel did inform Mary of her upcoming pregnancy, but he made more than a few such supernatural announcements of that sort. After the fact, angels (and demons) were able to investigate and gather some information...but an aura of ineffability (such as that which surrounds Superiors) prevented Seraphs and the like from discovering the Truth, even when speaking with eyewitnesses. In retrospect, most agree that something very out of the ordinary was going on.
Theories abound, tripping over one another in an attempt to explain the strange happenings. Some think that Jesus really was an incarnation of God, or at least some related being. Others think he was a human prophet with supernatural patronage. One theory even holds that Jesus was an incarnation of Eli. (Eli flatly denies this, and claims he never even spoke with Jesus.) There are also some theories that Hell originated the whole affair: a tricky play, if so, but not an unreasonable one. Hell does well with large-scale enterprises, and moving humanity from local religion to a single massive proselytising creed would make sense in that light.
Despite this great uncertainty, a decision was made among several of Heaven's archangels to support the growing Christian movement, in which they saw considerable potential. (As it happened, both Heaven and Hell made some significant gains using the powerful social and religious force of Christianity.) These days, the high-profile "Christian" Archangels are Dominic and Laurence, both of whom have a particular appreciation for Roman Catholicism. Most of the angels serving these Superiors (particularly Laurence) themselves claim to literally be Christian. Many other angels find the idea of a celestial adhering to a human religion quite strange, but there you go.
In Nomine Satanis / Magna Veritas[]
In the original satirical French-language version by Asmodee Editions, Christianity is the only true religion and the Catholic faith its only true version. Judaism, Islam, and the Orthodox and Protestant versions of Christianity are viewed as erroneous on some points, with the Catholic view in any discrepancies being dogmatically correct.
Jesus Christ is not seen as the actual Son of God, but is the Archangel of the Trinity. He acts like the stereotypical boss's son - an obnoxious and privileged jerk. He's always trading on his supposed connections with his "Dad" to get his way, intimidate subordinates, or to pass his tasks to naive Angels sworn to other Words. Technically his Word has responsibilities that concern the Celestial ("Father"), Corporeal ("Son"), and Ethereal ("Holy Spirit") realms - although he has no power to enforce his Word and no direct lieutenants and servitors to carry it out. However, his Word is so vague that it can be also applied to any situation involving things in threes - meaning he can choose to involve himself in any matter if he wants to.