Prospero: Prospero's name is an obvious allusion to the word Prosperity or Prosperous: the condition of being successful or thriving; especially : economic well-being. While Prospero is thriving at the beginning of the story, Poe creates irony when the Red Death is able to sneak into the party and kill the "most prosperous" man in the kingdom. Although Prospero thinks he is wealthy enough to escape death, he isn't.
The narrators description of Prospero as dauntless and sagacious is ironic because he is neither of those things. Dauntless is brave and he has locked himself in a walled fortress to escape a plague that is not very brave, and when death comes to the abbey, he chases death through all of the seven rooms in the abbey, that is not very sagacious.
The irony of Prospero locking himself in an abbey is that an abbey is a place of prayer and a home of god. While Prospero is locked in the abbey he manages to commit all of the seven deadly sins.