Like the Countess once experienced, Rex was brought to stand on a Lunirich Trial.
His repeated sins have earned him this consequence.
Initially, he thought what ignited the bad blood between him—and the Lunirich Gods was due to him allying with the Countess. She made him swear, that he wouldn't accept the powers of other Lunirich Gods through normal terms.
Rex could only take the other Lunirich Gods' powers, not make a contract with them.
No going back either, the oath he made with the Countess was sacred.
Considering she also saved him, Rex has no intentions of going back on his words.
However, from what the Yule Moon God said to him earlier it seemed like every time he used his moon abilities gained from the System—Rex was using the power of the associated God, forcefully, which in this case, Kaiser's power.
Due to that, one way or another, he would be going against the Lunirich Gods.