I choose to play demons as though they can have empathy, but it's always calculated empathy.
They are intentionally and willfully choosing to act with empathy because it meets some other goal, so even though all demons are fundamentally evil, they are not all fundamentally despicable.
I say it like it's some high holy road concept thing, but it's just more of a general guideline.
Demons will do anything they want to do as long as it meets their current objective.
Assuming we're talking about humanoid demon creatures and not some sort of like ethereal "presence of evil" demon.