Demons as in Enochian/John Dee demons don't quite "exist" in this setting, altough if you'd like you may mention them in your backstory; just know that they'll probably remain in the background. 

However, this doesn't mean that players won't meet demonic entities during their adventures. Demons of the Old Testament (Belial, Asmodeus, Moloch...) and other evil entities from the book of Enoch (Asbeel, Tamiel, Yeqon...) will interfere with the plot.