There seemed to be more than one underground person. Otherwise, in the message, they wouldn't have used the word "we". For Zhou Yu, their presence was crucial to the safety of Luhua city. If they had not been guarding the amusement park's Internet security, probably, Zhou Yu's little secret hidden in his computer would have been exposed already.
With so many games and animations, it would be hard to imagine the impact once they were leaked out.
Because of this, since the underground people wanted this incomplete creature, Zhou Yu really could not refuse. It was just a little disconcerting that he did not know what they were trying to get out of this. What if they were a research facility like something in resident evil, then there would be a huge trouble, if something went wrong.