You get fired for wasting Hell's ressources on an impossible task, mostly.
Worth noting that the souls of lawful evil mortals also use the Styx as point of entry, so succeeding would mean cutting off Hell's main soul supply.
The Celestial powers aren't scared to go after Asmodeus. They're happy he's getting his dreams of planar conquests crushed by the Demons, though.
Also, while the Blood War has been convenient for Asmodeus a few times (since Asmodeus wouldn't be Asmodeus if he couldn't turn a disadvantage into a perk *some* of the time), it's pretty clear he doesn't need it to easily hold power, while it is the main reason why his ambitions do not work out.