No, they're not immune to critical hits. If you read the descriptions of the "baatezu" (devil) and "tanar'ri" (demon) subtypes in the Monster Manual, there's no listing saying "not subject to critical hits or flanking" (compare to the "elemental" or "undead" subtype).
Nope. Their bodies in the plane you meet them on (assuming it isn't their home turf) are astrally woven duplicates of their normal forms. They have organs, blood and are just as succeptable to crits as anything that isn't dead, a machine, or a lump of rock.