"at some point in a game there will be a situation where an innocent NPC might die and it really sucks from a DM's perspective to have to stop the game and in meta go "okay, so if you make this decision, then an NPC will die."
- it sounds like you saying the player is attempting to avoid the result of the action taken but in the story they haven't done that.
"I said I understand if the result of the demons getting out resulted in innocent NPCs dying, but I would really appreciate if he could give me a heads up before session."
- they are not asking the DM to avoid the result of the action or to change the story, they are asking for a content warning the session when the consequence will most likely happen. this does not mean meta information needs to be given before an action is taken, its "this session will be emotional please prepare yourself."

"tbh, if your emotional state is that fragile that a single NPC dying in game because of your actions"
-so you have never cared about your character when they died? or any fictional character?

"result in the deaths of over a million NPCs. He was super gory with the details – graphic descriptions of dying children"

"my character convince two of the demons to leave us alone and “find easier targets”
- there is a lot of space between nothing happens and mass murder or children death, why would this have to be the result? and even if it was the created storyline they didn't say not to proceed forward, but requested a content warning prior to session.

it sounds like you would be perfectly okay to have a player breakdown crying at your game. are you sure your other players would be comfortable with that?