I never intend to write as much as I always end up doing, but this is a really interesting topic and I couldn’t help myself. Sorry for the text soup below.
Warcraft has always had tales of romance and tragedy woven into the universe, and I’ve always enjoyed it myself. I do think however that while not impossible for someone to fall for a demon, you kind of have to consider the in-universe ramifications of what that means - the social pressures of society, how one copes and deals with that, whether they wear it like a badge or feel shame despite their feelings.
It’s these little details that to me flesh a character concept out. It makes it feel more understandable and reasonable within the setting. A character who reluctantly accepts their status as a pariah for love can be an interesting concept for sure no matter the dynamic.
That all said, cases like Kalecgos and Jaina, or Fynn and Mathias, are much different than a Kaldorei and a member of the Burning Legion. I get what you mean, that these are people from different walks of life who found companionship in one another despite the odds, but in the case of the former were two magically talented beings that existed within institutions and civilizations that had no cause for animosity between one another, and the latter which being two humans from similar backgrounds that fell in love with one another in a world devoid of judgement.
Meanwhile the Kaldorei have thousands of years of history and as many reasons beyond to hate the Burning Legion. Their empire collapsed overnight because of the Burning Legion. Millions of souls were lost because of Azshara’s hubris, whole cities and families swallowed by oceans or slaughtered by demons. Even now, they haven’t forgotten, and that pain that was caused, all that loss and suffering, has absolutely molded the average Kaldorei’s world view.
Just look at how Tyrande treated the Shal’dorei with immediate disdain and suspicion, despite the Nightborne having proven themselves time and time again. The Kaldorei are a people who largely reject wanton magic and corruptible influences, and that absolutely includes the fel and demons.
I bring all of this up not to discourage you, but as food for thought. Everyone approaches RP differently, after all. I myself like to think about these things and take them into consideration for how I roleplay my characters and what limitations I set upon them as a result, but I also know not everyone is like me.
As a quick example: this character I play is a Scarlet. I’ve received requests for RP from people that are not Scarlets. I’m always incredibly flattered when someone takes interest in them, but I almost always turn them down because I can’t reasonably see this character casually having a chat with someone they would be trying to kill. I get less roleplay because of these self-imposed restrictions, but I’m willing to deal with that because it makes sense in my mind.
Stormwind is definitely a melting pot of ideas and cultures in universe. It’s also the location with a notoriously under-the-table warlock cult that has nobles assassinated for asking too many questions about them.
Kind of in line with what I was saying above, since Stormwind is considered the RP hub of the server, you’re going to encounter a lot of people that exist within its sphere do their own thing, play characters who don’t necessarily fit the setting, push boundaries of what is acceptable to some or unacceptable to others. It’s a mishmash of quality brought together because it’s considered the place for easily accessible RP. Most people are willing to ignore certain aspects of lore if it means they get access to a steady flow of casual roleplay. And that’s fine!
It’s just that that mentality doesn’t exist everywhere, so it’s something to be mindful of.
I’m not really big on shipping culture, but if there were two characters I consistently thought should grow to appreciate and form romantic bonds with one another, it is absolutely Maiev and Illidan. Always felt like it would be great closure for their characters for sure.
TLDR: nothing wrong with your character concept, imo just be mindful of the IC repercussions, the whos, whats and whys, and how they can add a lot of flavor to your roleplay.