Yeah, I think the question of whether or not the demon is "real" is beside the point. It's just symbolic of their desire to single-handedly fix the world.
Overall, good series. It's kinda seeped in that particular brand of "everything is awful, and trying to fix things is naive and bad" cynicism/strawmanning that I generally find boring (and a bit immature-masquerading-as-wise), but Brubaker is a fantastic writer, which helps to overlook the philosophical divide. Consequently though, because of how blatant he was about the protagonist's mission being stupid and misguided (and literally delusional, because subtlety!), the ending was predictable pretty much from the start, and the fake-out really didn't work at all (did nobody else find it immediately obvious?).
But yeah. I sound like I'm ragging on it hard, but I did really enjoy it, bleak and defeatist as it is.