This is generally because part of what makes role playing games and fantasy movies and books exiting is that they describe things that you can't really do in real life.
It doesn't have to be about demons, really. Take Star Wars, which has magic (the force), near instant travels, heroes and bad guys.
There are of course realistic games, like board games that simulates wars (Diplomacy, Risk), but these often appeal to different people.
So in short, a game about being a salesman trying to duke it out against 'customers' using various brands of cars (creatures), neon signs (artifacts) and special prices (enchantments) would probably play the same if you look at it from a mathematical point of view, but would be utterly BORING.
Sidenote: There are, or rather were, a couple of cards that had borderline sexual images, but as far as I know all the objectionable ones were removed (as in not printed anymore) quite a while ago. I have an example from my own collection if anyone would like me to scan it in. It's safe for work.
This message has been edited by Melchior, 06-17-2005 05:29 PM