Ok, so demons/monsters having divine protections basically means that this entire world is its god or gods' live super sentai show, the protections being like roles, the demons and monsters playing the weekly antagonist, and the hero's party playing the role of the good guys. In that sense, the demon king or whatever, probably has no more choice in what they are doing than the hero.
In such a world, the only way to win, is to refuse to fulfill your part, and, like in Buddhism, try to break free from the universe's system. It wouldn't be strange for a large part of the population to be holding distheistic perspectives on the god or gods'.