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.
The gods avoid the abyss and have their powers weakened their as even the souls of their faithful are beyond their reach once in the abyss. This means that something down their can be weaponized into weakening, imprisoning, or killing the gods. Find out what keeps the gods out and you will know their weakness for once. You might think they will smite the demon who did so, but they likely won’t. The gods fear nothing than a lack of followers, however if something could kill them they would likely fear it and wish it destroyed, but as they would never have experienced something such as this before it will likely make them uncomfortable and many might not truly understand the concept of their mortality after having lived their entire lives free of the prospect of death and fear.