Kairaku ~Haitoku no Tsubasa~

The world where angels and demons live in constant struggle. Main character is an angel who gets captured by demons turning into a fallen angel getting accustomed to local life flow. One day two more angels get captured - protagonist's older sister and former lover - but he can't recognized them after his memory is erased. He gets a task to taint both girls and train them into fallen angels...

[From vndbreview]