Dante has two swords to find:
Vendetta is in mission seven. After you get the flame heart, cross the lava lake. There will be a platform with a door in the middle Go in, and the sword will be there.
Merciless is in mission eleven. Break open the door in the falling spike room, then go back to where you came from and another route will have appeared below where you originally came in. Take this path to obtain the sword.