#(attempted)

First, the Doylian side. Based on a quick Google search, pride month is in fact celebrated in and has events in Japan, including Tokyo, where Nishi is based, so it's not unlikely that Nishi knows about pride month. However, she let's characters like gyari and beem exist as characters that have lgbtqia+ as traits, not necessarily explored parts of their identities, creating a possibility and that she may be trying to assert lgbtqia+ as just something natural and therefore not needing of a whole month dedicated to it's rights within the demon world.

Now the Watsonian side. It might be assumed based on how naturally queer characters exist in the world that lgbtqia+ is just a very and completely normal thing there. Iirc, nobody else ever seemed to ever question opera about their gender other than iruma, who is from the human world. There are lesbians in younger elizabetta's storybook. Beem and younger kalego both wear mixed uniforms iirc. Everyone is completely normal about Eiko being bi and possibly poly. This would also be in line with demons being true to their desires, including their desires about their identity(gender), their expression of identity (gender presentation), who they desire (sexual orientation), or even their desire to not have that type of desire (a or aspec). Therefore, there wouldn't really be any need to celebrate this particular part of their identities as there wouldn't have been any discrimination against it.

However, it can be seen that despite the normalization of being queer, it's also not completely normalized??? Lied is surprised and possibly even opposed to the idea of gyari being lesbian at first, and he also seems to have an aversion to cross dressing at first, showing that such freedom of gender expression is not completely widespread. And the majority of characters also seem to stick mostly to their apparent gender when it comes to the babyls uniform.