I think I'd prefer Yugoloth. Daemon/Daimon just comes from Medieval Latin/Greek (respectively) for messenger; knowing the etymology sort of deflates the impact of the word, but maybe that's just me. Originally it would have been pronounced Day or Dai, dialect depending (as in 'what a nice *day*', and 'you kill someone, they *die*').
I suspect that they weren't just using the variant English spelling but harkening back to the older word when distinguishing between demons and daemons, but who knows. If they were, it sure wouldn't make much sense for daemons to be evil.