I feel like a lot of things are mystically tied to either the demon or its covers, so what what happens when the Demon, its covers, and miscellaneous associated things (peoples memories/reality/cover created things) when the Demon itself dies?
Demons are as ignorant about what happens to them when they die as anyone else.
I have found no rules about this (not in the rulebook or Flowers of Hell or Heirs to hell), but I may have found enough hints to help you. Let's dig in:
Demons can change reality and the Cover will absorb these changes (see Pacts on p116), but only the memories of directly involved parties are changed.
Discarded cover simply vanish (New Cover section p116), but memories linked to that cover (done by interacting with the demon behind it) remain.
Based on the above I conclude that, when a Demon dies, all of it's linked Covers simply vanish (and anything that is tied to the Cover merit wise). It's also clear that memories are not touched by this disappearance.
If we take the example from the book from the pact section (young man, trading his relationship with his girlfriend for wealth and power). If that demon dies, the girlfriend (part of his cover) suddenly has boyfriend who disappeared under mysterious circumstances. The young man will have no memory of her (due to the pact).
The story of How an Angel Dies (found at the end of the Demon - The Descent rulebook) operates along the same lines. On p372 we find the following section:
West helped Gordon acquire his secondary Cover as Priscilla, and so he knows that if Gordon is dead, so is Priscilla.
Gordon is a demon, who in an earlier scene, was beaten to death. His other cover (Priscilla) simply folds up.