Demon-blooded are at home in Malfeas, and do not respire Essence well in Creation. However, unless they possess a certain mutation, they do not count as demons for most purposes. Even Demon-Blooded with this mutation have the ability to go in and out of Malfeas as they please, though it's more uncomfortable for them.
Long story short, I'd generally say "no, unless it's beneficial for them", and even that's not completely accurate.
Demon-Blooded are only partly Native to Malfeas. While they can live there indefinitely while other mortals die within the week, they are still subject to the dangerous environmental effects found there.