What does any enlightened being want from us? What does our Lama want from us?
Having extreme compassion and highly attained, Dorje Shugden, like our lama, only wants us (as practitioners) to change our attitudes, be sincere in our Dharma practice, transform our mind, be harmonious and aim towards Bodhicitta. Ultimately, as they can see past this life of ours, they will do all that they can do to lead us on the path towards enlightenment, and on our side, there is no amount of offering greater than that of joyous effort, hardwork, transformation of mind and attitude.
If we keep creating strong negative karma through our body speech and mind, no enlightened being can help us even if they wanted to. We create too many "layers" infront of us, that the help cannot even penetrate through these layers. Therefore, as a direct method to stop accruing negative karma so that we can receive help, we do everything opposite from what we are doing to create those negative karma. And that is what enlightened beings want from us - to help ourselves so they can help us.
Therefore, having a lama is like having Dorje Shugden with us, as our lama, yidam, protector are one. If we disobey our guru, DS can't help us too.. so guru devotion is another key thing, especially in Vajrayana, that DS would want from us.