It wasn't long after the creation of the first worlds that the first demon was born. When the fae found her, and the other children born after her, they decided it was better to be in control. Letting anyone travel around the web without the knowledge they needed could be dangerous, so the fae weren't being purely selfish, but at the same time it was important to the world creation council that they were in charge of everything to do with the web. Having people out there who could travel around the web freely wasn't a part of the plan - they didn't plan for anyone to travel around the web apart from the fae, and even that wasn't going to happen regularly.
The World Walkers Council was created to control the newly named World Walkers and the first rule they made was that the walkers shouldn't get involved. Every walker was meant to watch what was happening on each of the worlds, staying completely detached, because that was what the fae wanted. Instead the fae got empathetic people from many of the different races who wanted to help their race and, occasionally, other races that they felt close to.
Eventually the fae realised that giving rules to a group of people who had the freedom to move around the web without needing help was never going to work. The people had once been the walkers were demonised and the fae created a new way for their chosen walkers to travel around the web. However the demons didn't stop being born. Sometimes they were caught travelling from world to world, which, in the beginning, led to executions. Later they created a way of stopping the demons from travelling, a tattoo much like the ones the walkers used, but it didn't always work, because the doors chose who they wanted to travel through them.
Most demons have a choice to make. They can either keep themselves safe by not travelling or they can take the more dangerous path and choose to travel the web. Some make the choice because they want to do the right thing and help those who need help while others just want to travel the web. Other demons aren't given a choice because they come across a door, end up walking through it, and then have no way of getting home again.