Curses are black magic, your character practices it and is found heads are gonna roll. At least generally, because most curses seek to kill or otherwise brutalize people but more minor and harmless hexes are perfectly legal. 

Demons exist and in many forms. They are Fallen Angels and random beasties that signed up because they thought Lucy was a cool guy. There is the occasional half-breed demon and the Awakening outright mutated some people into demonic looking humanoids that aren't beholden to anyone. 

Eldritch Abominations also exist and summoning them is a very Bad Thing, they'd be late-game enemies and it's not likely for the really huge ones to show up but references can be made. Reaching out beyond the confines of our reality is also a magical violation.