Although it's never stated it becomes apparent that the reason Rei goes around wasting himself as he is sealing all the Yin Gates is because he believes Garo is a Horror Eater and he wants to cut off his source of food.
Why does Wataru's brand give him the "honor" of being forced him to fight other Makai Knights rather than the requisite doom clock? As the next episode shows, Wataru was the Drill Sargent for a team of fledgling knights who as part of the regimen only know each other by the color of their headbands, including white, red, orange, and purple. During their graduation they're attacked by a horror and Wataru is seemingly only able to save White, white being Kouga naturally. However, as is suggested during Kouga's final fight with Sigma, the Masked Priest in episode 24, Sigma was also Purple, having managed to escape the horror attack. Though it's never directly stated, we can assume Sigma's reservation of a specialized revenge for Wataru is as punishment for failing to protect their squad.
In Makai Senki #6, a Horror is grown from an odd seed found overseas, and can project the image of the man that carried it on his person after he died. Of course we could presume that the seed itself is the real source of the Horror, but it's been established that Horrors are only drawn to the negative desires of people - which means that the otherwise harmless desires of the man wanting his parents to understand him, followed by the old couple wanting their son back, worked just as well. Yes folks, the number of Horrors that could possibly exist has just doubled!