In Hawking's personal opinion, the Underworld King's ideas and methods were not wrong. At the very least, he felt that if the Underworld King governed humanity and made people aware of the punishments they would face after death, they would certainly behave themselves much more.
If he were the Underworld King, he would do the same. But if he were human, he would definitely stand with Athena.
Athena's approach toward humanity was one of laissez-faire governance. Although she had led humans to victory in Holy Wars ever since the Age of Mythology, she had never ruled over humanity or demanded that humans act in any particular way.
Her management of humanity was simply to leave them alone and let them develop according to their own will. Even when humans waged wars among themselves, she did not interfere.
She was a god, yet she did not place herself above all others. Only when humanity faced invasions from other gods and Evil Gods would she lead the Saints in protecting humanity as a whole.
Thus, in modern times, Sanctuary was merely an unknown tourist attraction to the world, not some ruling class—even though Sanctuary could wipe out an entire country by sending just one Bronze Saint.
Of course, he was not from this world. He chose to help Athena because she was easier to get along with and more beneficial to him.
By helping Athena, he could not only obtain the Gold Cloth and every Gold Saint's ultimate techniques, but also save humanity and fill another progress bar to unlock a new Protagonist Template.
If he found an opportunity to get some Goddess Blood, turning the Gold Cloth into a God Gold Cloth would not be too difficult either.
More importantly, given Athena's personality, she would treat him as an equal regardless