Harald came from a Kingdom full of magical shit and even he got played hard by Imu.
It really looks like "Demons" are a concept even pirates and people, like Brook, who've seen tons of shit, just simply don't believe in, when it comes to the One Piece Universe.
If the King of Elbaph had a hard time accepting Demons were real, yeah, it makes sense some dude from a kingdom that was known for being not-well-known assumed "I guess this girl just turned evil."
It's just very frustrating for the readers, because it's like, "COME ON, MAN!"