It seems like this situation is really about your daughters relationship with her friend. Her friend has this game she plays, and your daughter plays the game with her and tries to be like her.
When she talks to angels or demons, does she say they tell her to do things she doesn't want to do? Does her friend try to get her to do things that they both know they shouldn't do? Is she engaging in anti-social behavior or suffering at school?
If not, I wouldn't worry too much about the situation, but monitor the situation and be sure to keep a safe dialogue open with your daughter so that you'll know if the situation is devolving. The demon is a bit of a disturbing development in the game and I would be concerned that the children might begin to act out in negative ways, but that isn't certain. Maybe the narrative turns out to to be that the demon isn't really evil, just misunderstood and in need of the girls' help (you know, the old "bad boy turns good" story).
If it were my daughter, I would monitor her other behavior, keep her talking about the angels and demons, and see if she grows out of it.