Is the sunk cost fallacy always a fallacy?

[Fyraltari]

I don't think Red Cloak represents a philosophical concept, or at least not is a pure sense. He is a cleric of the Dark One, and is behaving like such a character should. He is distrustful of the other player's motives, as the DO is distrustful of the other gods, and neither feel any compunction to play nicely.

We're told a few times, once by Redcloak's own brother, that the reason Redcloak sticks with Xykon is because he can't rationalize all the deaths he caused otherwise.