Going into more detail, Mazoku are astral beings. They're nothing but willpower, ego and spirit. They can actually weaken themselves by believing that they're weak. Because of this, most Mazoku won't lie because they see using trickery as a sign of weakness (Xelloss might get around this simply by having a different personality; his plans are so elaborate that he doesn't see tricking people as a weakness. He still doesn't outright lie though).
One thing a Mazoku will never do is ask for help, especially not from something higher in the ranks than them. Dragon Slave is a spell that calls on Shabranigdo's power, and he's the highest Mazoku there is in the Slayers world. No Mazoku beneath him could even finish chanting Dragon Slave, the humiliation alone would destroy them.
Shinzoku are the opposite of Mazoku. For them calling on Dragon Slave would be like a priest praying to Satan. I doubt they'd be able to do it either.