Chénier, your comment about Wikipedia aroused my curiosity so I took a look and checked out that the word "cavalier" does exist in Spanish, as you said. Nevertheless, its meanings include a kind of dog, a British car by Vauxhall Motors, a North Dakota town name, and the nickname used for the supporters of King Charles the 1st of England in the Civil War, as Longmane said.
The Royal Spanish Academy (RAE) doesn't recognize "cavalier", but anyway it can be easily understood by any Spanish speaker. Moreover the game is written in English, so maybe it's easier to just take this word and not discuss about the angels' gender as we say 
Regards.
The English language has a tendency to burrow words from other languages and give them different or extremely more precise/defined meanings. For example, a sombrero, in English, is a traditional mexican hat, whereas in spanish, it's just any kind of hat. Other languages do this as well, but I tend to believer that English does it more. Translating these words back into other languages can therefore sometimes prove to be a challenge.
