Courage are Audito sphere Sequi which are above the hierarchy of Laguna, the chain of command of the Angels of Paradiso. Courage are lesser aspects of the will of Jubileus, The Creator that is embodied by Fortitudo and as such, Courage acts as weaker clones of the Cardinal Virtue.
Courage appear for the first time during chapter X way after the original Fortitudo's defeat. There it acts as a mini boss who use weaker version of Fortitudo's attacks. Another one attack Bayonetta during chapter XIV. During chapter XV, Bayonetta can attack or taunt Jubileus' empty vessel, which will cause one of Courage's dragon heads to emerge from the wall and fire at her.