They're supposed to be the toughest demons out there, but you never really encounter any. I remember reading somewhere that what Uldred becomes when you fight him is a Pride Demon, but I'm not sure. Do they show up at any other times?
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The mouse in the Mage origin is a pride demon, but you don't really get to see him in his demon form.
I don't think it's ever actually stated that Asunder is a pride demon - he's always just referred to as a "Fade Beast". While Pride demon is certainly a good guess, I'm not sure where the certainty regarding him being a pride demon comes from.
The world is small, nasty and complicated. Everyone dies alone.