Yes. Sorrow must be said to exist in them because it is of the very notion of punishment for it to be repugnant to the will.
Moreover, they are deprived of happiness, which they desire naturally; and their wicked will is curbed in many respects.
Fear, sorrow, joy, and the like, so far as they are passions, cannot exist in the demons; for thus they are proper to the sensitive appetite, which is a power in a corporeal organ. According, however, as they denote simple acts of the will, they can be in the demons.