Something else that just occurred to me: (Pardon the text wall) That's essentially the point of John's "special soul." I had never really understood what they were talking about when they said that John's soul was special, that he had special resilience. Basically, I think what LDM is trying to say is that he has the ability to filter out violent trauma. Logically, the relationship between him and the girls ought to be one of fear and terror because they kidnapped him and subjected him to copious amounts of sexual assault. (GAME OF THRONES SPOILERS AHEAD!) I think a good counter-example would be Ramsay Bolton and Theon Greyjoy, AKA "Reek" from the game of thrones series. Ramsay captures theon, cuts his junk and numerous other bits off, and gradually cuts off pieces of his skin until he adapts a humiliating new persona as Ramsay's subhuman servant. That wouldn't work on Jon because he's the demon candy. He is incapable of developing the Pavlovian "or else" response that would corrode his psyche and force him to go with the flow and permanently alter his persona to avoid rocking the boat in his new situation, his mind filters and shrugs off the trauma that a person ought to experience by being actually forced into this against their will without having expressed the slightest curiosity about sadomasochism in the past. Therefore, since the fear response cannot be created, rendering coercion useless, they have no choice but to target his actual latent submissive impulses, which, while he never examined himself enough to notice them, were a part of him before he went to hell. The demons can only win his allegiance by having him do things that he, by his own nature, would have enjoyed anyways if he had only given them the chance, because nothing they do to him can corrosively change his outlook. I surmise that if he were held captive in a more traditional predicament, say by some kind of totalitarian regime, their non-sexual torture would likewise not gain effectiveness over time, as Jon became desperate to escape the mounting torment.
Theoretically, he could just as easily have stumbled across his fetishes in a more conventional way, like through an un-intentional reference in a cartoon he watched as a kid, or stumbling across some niche stuff in a bunch of other porn he was looking through, or by finding a webcomic about a guy getting kidnapped by kinky demons. Then he could have gone to his local munch and found a nice mortal girl to paddle his latex covered ass. Hypothetically, If he was vanilla, but had the same soul protection, he would just kind of forget about all of Vicky's lessons, They have nothing to threaten him with, they can only force him to not knock it till he tries it because that's all that will sink in. So, its's not a case of a rape victim orgasming during and hating themselves for it, because he's not capable of feeling the deep, earnest, psychologically crippling feeling of violation that a rape victim feels, only the much more manageable mental turmoil of realizing that's deep down inside, he's super freaky. After all, when a rape victim orgasms during the rape, it's not because they believed that they had no sexuality, and that sexuality was demeaning and humiliating to have, but because they were attacked by a selfish and exploitative hostile party who rendered them helpless in an aggressive way (Which is distinct from the kind of helplessness which exists in BDSM) and subject them to a potentially harmful activity. This is why I believe that, within the verisimilitude of this story itself, comparing Jon's enjoyment of the lessons to a rape victim climaxing during rape is a false equivalency. I did ponder the question myself though, for a while. Noelle and Caley were both just really sexual people by nature and accepted their lifestyles eagerly, but your point is still disturbingly relevant a question (if not necessarily the exact predicament) for the rest of the slaves pictured in the story, (It's up to LDM to give them stories) but, I would say, not for John.