the only ally that is a warlock that Xia cannot use is Dramla Lifebender because she is Undead Hero Required. Xia, seemingly a crappy warlock, isnt as bad as i thought she would be, but definitely not a tier 1 deck. gets straight rolled by rush/burn. 20 health doesnt go far. (demon armor is amazing for her btw)
for mistress, there are a crapton of weapons. and when u can use ALL of them, and up to 6 at a time, u can put together some crazy things. obviously the bad thing, ur vulnerable to solo hate, and item hate, and both are plentiful. currently im just seeing mistress rush attacks, whispering blades, cheapo weapons. but i think u might be able to incorporate some control into her, with bringers, terroks shadstaff, silent fangs to counter with, terokks quill or hellreaver to use on defense swings so ur not so open to being smacked on their turn. i think she has more options than people are using right now. ima go make one actually...
right now most of the demon heroes are not going to be winning heroes for their limitations on building, which may result in only a couple, if any, viable builds, and their general lack of ability/item removal. Some of them have some, but not much.
Obliveron seems accepted as the best demon hero at the moment.