Actually, what they know is that there is one God - James 2:19. What Jesus’ brother was saying is that faith without works is dead. We may argue about the vitality of Obama’s faith, but, then again, whose can’t we?
What demons do know is that Jesus has power over them, and that even they are to serve Him. This is what Jesus found so amazing about the faith of the centurion. I don’t think they call Him Lord and Savior, or call us our brothers, or have hope in redemption through His Resurrection.