There is actually lots of possibilities why.
First, I revise your question. Instead of asking why the gods haven’t destroyed the demons. Ask the reverese. Why would they destroy the demons?
Obviously, the situation here is very different from angel-and-devil situation in the bible. From what could be taken from the book, demons and gods are essentially two diffrent species that are just more powerful than humans. Here, to the gods, demons are just a major annoyance, but since the demons doesn’t really have harmed any of the gods before. Demons, to the gods, is a nuisance but pose little threat, so it seems. But when a demon kills a god, now that is a different scenario altogether.
They get tortured?