As I was traversing through the complex web of the DMC wiki, I saw some Hell Prides that were looking for a beating. So naturally, I took out my sword and Stingered through one of them. I noticed it was the Orbs section. I scampered across it and found white orbs. They were made out of crystalised demon tears. So, a Devil does cry!
P.S. I never knew why the characters never made heads or tails out of that.