I'm sure they go there a lot but Fix and his predecessor both had normal residences in the real world, Harry's called Fix on the phone before at his house, which I don't think implies a primary residence in Fairy Land. Even the lesser queens appear to spend most of their time in the Real World, and close to the proverbial action as opposed to in some mansion in Montana, which to a degree would be what setting up permanent shop on Demonreach would be.