As a Greater Daemon who had been casually crushed to death by the Emperor during the 30k era, the Sphinx had been spectacularly unlucky. Not only could he not return to his home in the Warp to be reborn, but that terrifying golden giant had also turned him into a sword.
Even though daemons had little sense of time, they still had ordinary minds. Anyone left hanging on a wall for ten thousand years would get bored. After all, even Vulkan couldn't stand that kind of silent treatment.
Throughout those ten thousand tedious years, the Sphinx had longed to be picked up again. He didn't care about being The Accursed anymore; anyone living would do. Someone stronger would be even better, since sucking up to the strong was an eternal tradition among daemons.
But now, the Sphinx missed the days when he'd been hanging on the wall. At least back then, no one had forced him to become a Sword Maiden, let alone threatened to stick his own blade in a latrine.
Although daemons, as entities from the Warp, had no sex, their appearance tended to vary according to the faction they belonged to and the direction their souls were drawn.
For example, the Red-skinned Lizards of Khorne were mostly hulking muscle-bound brutes. Female Greater Daemons could exist, but generally they were a bunch of beefy bros wielding enormous weapons.
Lords of Change were usually dressed like sorcerers. Those noble spellcasters disdained close combat. Nurgle Fatty was even easier to recognize: you didn't even need to look at him. You could tell just by sniffing.
As for the flamboyant Greater Daemons of Slaanesh, being lascivious wasn't as important as being depraved. The ultimate pursuit was extreme pleasure, burdened by emotion.
That was also why Space Marines were called the E-Demon