Damage Reduction (Magic) is not pointless it just represents a creature who has grown to the point where objects of a mundane nature hardly matters to them (As well as many other explanations)
It as a whole is a story effect rather then a useful one (though mind you if they ever fought against armies it would be vastly useful as well as any PC with Leadership, Summons, and Non-magical Abilities)
Yes Demons unless they were dealing with people they could care less about would never get to use their Damage reduction (Magic)... However they didn't train until they got Damage Reduction (Magic) they just have it as an innate ability.
As for dwarf Fortress
I really wonder and hope that there are "Unbeatable" enemies at one point. Don't get me wrong I don't mean "You will lose" I am referring to "You cannot win" so Demons who will always come to life a day after you kill them. Thus you have to seal them away forever! Or enemies that can regenerate as long as any piece of them exists (and you don't got magma around).
Demons are interesting and unfortunately as a whole they don't do ENOUGH or play a big enough roll in the game at any point... So I am kinda finding it hard to find this whole suggestion interesting if I will never actually see the demons except under controlled circumstances or the few Greater demons.
I guess what I am saying is...
I want demons that will build armies, corrupt world leaders and set them against their enemies, breed legions of demons, create spires that will blot out the sun, poison the rivers in which you drink, seep their evil into the ground to turn the trees themselves into horrible monsters, inflict horrible curses upon the innocent, exchange gifts in turn for favours or loyalty, Do rituals to summon greater demons, rend the flesh of the living to create abominations, Ask for offerings of human flesh, Deface engravings, rewrite historical document to make themselves seem better, claim to be the gods of their legends, Have a turn around and become benevolent, transform people into mysterious slaves, open doors to the underworld, CRAFT ARTIFACTS, Ascend to new levels of power (a lesser becoming a greater), Have their Spheres affect their personality and body, Change spheres, Have changes in personality affect their body, Have diseases that cause people to die and come back as the undead...
Alright... rant (and wall of relevant text) over...