You can do this all yourself, creating scenarios where the illusions are there, the ice walls are there, the minions are there, and there is a backstory of the monsters nefarious plot where it does things off stage to NPCs that aren't on the stat sheet, but I personally think that's less satisfying and that its certainly as a stat block less thought provoking.
Does it feel like "cheating" because you're just making things up instead of sticking to what's written down?
Because it is in a way cheating.
When the players have equipped themselves specifically to kill devils, do you make them more "interesting" to have a longer/better combat? But what happens then when they, expert devil hunters, are unprepared to handle the special abilities you give the devils?
Such short notice alterations are OK in a Combat as Sport scenario which happen separate from the rest of the game, but they make it impossible to run a Combat as War scenario unless you decide on each and every addition way before the monster appears.
...I like the fact that I can make simpler monsters more interesting myself, on a case-by-case basis. The statblock in the book is the simple, average version of the monster, but it might not be the stats or abilities for any individual monster, especially if they are important and not just something sitting in the way of our heroes. And doing things off stage, as you say, is the perfect opportunity to be creative.
Why is it less satisfying? Does it feel like "cheating" because you're just making things up instead of sticking to what's written down? Or maybe not cheating, but arbitrary?
But I like the fact that I can make simpler monsters more interesting myself, on a case-by-case basis.
We've always been able to make things up on a case-by-case basis. But the bone devil has always been able to fly and turn invisible (among other things), until now. Our starting point for being creative was a creature that could do these things. Now it's one that can't. Shouldn't there be creatures that can turn invisible and fly by default in 5e? Should such things always be left to individual DMs ready to take on the oh-the-humanity complexity from now on?

(Dungeons & Dragons)
Rulebook featuring "high magic" options, including a host of new spells.