Issei's completely unhinged response to a panty thief actually wielding a philosopher's stone is peak DxD absurdity, and the show knows exactly how dumb that premise is. The comedy lands because the cast treats supernatural lingerie crime with the same dead-serious urgency they'd use for actual apocalypse-level threats. If you've made it this far into the franchise, this OVA is exactly the brain-off, character-focused nonsense you showed up for.
When a monster that steals underwear attacks Asia Argento, Rias Gremory, Issei Hyoudou and the rest of the gang move in to destroy it, only to be caught off guard by its tentacle attack. Irina Shidou reveals that she is after whoever has been controlling the creature rather than the monster itself, and the hunt for the Legendary Sage, an underwear thief, begins. This ecchi fantasy comedy OVA was never broadcast. It came bundled with the High School DxD DX.1 light novel volume.