They got Demone Generals, which is like their party. But unlike the Heros Party, a Demonlord and his generals need to lead a war and command their Race/Kingdom, so to protect the front etc. They normally split up and then the hero and his party deal with them One by one before dealing with the Demonlord.
If you wonder why the Demonlord doesn't just Stick together with the Generals so the Heros party can't one by one them I got two answers:
1st: Its the Easier one but: Lazy writing and Cliché, with other words cause the Author wants it so.
2nd: If we want it to fit with the Lore: Cause Demons only follow the Commands of stronger Demons. Like its almost always a trait of the Demon races in Fantasy that they only follow the Strong. So if you have an Entire army of Monsters that only follow the strongest around and you don't want to have constant Challengers and fights about the Commander Position, you need and Owervhelmingly Strong Demon that leads these Armies. Thats why Demongenerals are a thing. Cause unlike Humans, Demons need a stronger Demon To lead them Into Battle, so they don't do stupid sh**. Thats why demongenerals Need to Go around Leading armys Instead of sticking by the Demonking to protect him.
Now why are they always alone you might ask? Thats cause having two or more Demongenerals together also causes Problems, cause of Infighting. If you have two Demongenerals who are not in some sort of Brother, Sister, Twin relationship, they can cause the Army to be Imobilized do to fights and sh**.
So yeah thats a Lore explanation why Demongenerals don't stick by the side of the Demonking.