Many of those questions aren't entirely straightforward. Some of the demons are fairly insane; others don't necessarily have desires that translate to anything in human experience. There are other things that generally make sense, though. For example, Braelyn, being a fire demon, has a physical form weak against cold/ice/water. Botros Albaf (and god, I hope I'm naming the right demon here), being crystalline, is somewhat weak against sonic damage. Of course, most of the demons are fairly intelligent, so they compensate for these weaknesses where they can.
You can confirm something you guys have probably suspected for a long while. Most of the more powerful demons, and even some of the lesser demons, are resistant to physical damage on this plane. There are some sources that can overcome this resistance. You've already discovered some of them - whatever your innate granted boons that make you mythic, for example, means your attacks bypass their DR. Similarly, argia and… shit… that silvery special amorphous metal, can't remember the name, something like veneresite… that stuff, properly crafted into a weapon, also allows for bypassing that DR.
Oh, and there aren't two Winter Ladies. There's the Iceblood Empress, who is a lesser demon with delusions of grandeur who you defeated earlier. And then there's the Winter Lady, who is effectively a minor goddess of winter, nearly as powerful as the Nine, and who Braelyn helped you overcome in Yegek. And yes, there are also demons who are effectively minor gods and goddesses of the others and of other things, but they're not as widely worshipped and aren't worshipped by either the Islanders or the Mierans.