What if this demon is symbolizing something? Can you think of anything that causes you to feel so vulnerable from seeing an open door? Maybe it's not even the result of an event and the demon could be symbolizing vulnerability itself. It could be a possibility since there's a phobia for almost anything without having to be tied to a traumatic event or mental illness.
I have successfully tried the exposure method several times so I think it's a great idea. I'm actually afraid of the dark myself...and I'm 23.