Are they afraid of the substance or is it just something that can harm them? Say they encountered cold iron doors. would they try to bash them or stay back from them?
Demons are generally not afraid of cold iron. The ones with averge intelligence or better might be wary of cold iron in form that can actually harm them (weapons, caltrops, cold iron traps) but they also might be also strong enough to deem such measures too weak to harm them seriously and be willing to suffer some minor damage.
Bashing through the cold iron doors won't inflict damage upon demon if done sensibly (with spells, weapon or just claws) and thus can be real option.
Fey are creatures that are usually associated with dislike of cold iron but might overcome that dislike (and most of them in Pathfinder/D&D do not suffer with aversion strong enough to warrant mechanical effects, its just matter of roleplaying their reactions to cold iron).