They actually do not establish that there are demons who are born demons nor separate classes of demons beyond Gwi-Ma and his subjects.
Jeoseung saja, who the Saja Boys are named after, are bureaucratic shepherds of the Korean mythological underworld. Like Charon of ancient Greek mythology, jeoseung saja generally have no moral alignment, it is simply their duty to bring gwisin to the underworld.
But of course, this is not how the Saja Boys are portrayed.
And then gwinsin are the souls of humans who died with regret and resentment because they did not live a fulfilled or virtuous life. This is the only backstory given to demons in the film, and without further evidence, I kind of have to assume these are the only "demons" alluded to in K-Pop Demon Hunters.
Not really mentioned at all are dokkaebi, who are demonic nature spirits. These are non-human entities who solely exist to lead souls astray.
I want to assume that maybe there are multiple classes of demons in KPDH, and that the majority the Huntrix kill are based on dokkaebi, but there is simply no evidence for this. Demons in the film simply exist to cause chaos and drag souls to Gwi-Ma, with zero morally corrupting ability of any kind.
The singular corrupting force in the film is Gwi-Ma, who turns humans like Jinu into tortured demon slaves.
If the movie established that there are different types of demons as you suggested, I honestly wouldn't have half of my complaints.
But it just doesn't.
