If you don't shoot the mage first, you've got no one to blame but yourself when she summons another demon after you kill the first. Really it's a time honored tradition. The heavy armored dude in front isn't the problem in the fight. It's the mage behind him. Usually the mage is dropping buffs as well which makes for double the fun. Either way, shoot the mage (or medic) first. It'll save you trouble in the long run.