Eh demon is a very sketchy subjective term, it could have a variety of meanings.
There could be 4D nasties, like the lizzies, the orion STS, or their puppets the greys - they could be demons. One could refer to a psychopath as a demon (though I tend to think of them as soulless or void-filled humans), or we could talk about non-corporeal nasties that attach themselves to humans and require an exorcism to get rid of. So when you ask 'What exactly is a demon?' the answer could easily be 'a great many things' depending on context.
If you're new to the site I'd suggest reading the wave and adventure series, if ya haven't yet that is.
For what it's worth, I think in the transcript snippet above they are referring to the non-corporeal attacher types, that's probably the closest you'll get to an objective definition of demon. From m-w.com: demon 1 a: an evil spirit b: a source or agent of evil, harm, distress, or ruin