1. Well, by the rules as written even Unarmed has a CR of 4 so if nothing else the Daemon will cause crits on 4 boons. But I would probably treat the claws as hand weapons and give them a CR of 3. Not exactly by the RAW, but since it's not written out what CR the claws have I think it's fine for the GM to use what seems appropriate. Also, any Comet rolled will cause a crit (if that's what the GM choose), the Daemon has 2 expertise dice to spend so it is a possibility to get a crit from that. Many creatures also have recommended actions that can cause crits. For example, the Beastmen's Savage Strike, which is a very dangerous action (attacks with it has an effective CR of 2).
2. Fear on NPCs work the same way as for PC's, but given that non-nemesis NPCs don't suffer stress/fatigue but wounds instead, Fear 2 will cause 2 wounds (and possibly give the Frightened condition with 2+ banes on the test). The Chaos Fury in the Eye is not immune to Fear by the rules, but there are other monsters that are. It sounds reasonable to me that it's not immune though, even an evil monster can be afraid of Death incarnate. I think immunity should be reserved for undead, and possibly very high-challenge monsters. If you build a NPC yourself the way to make sure that they can resist fear is to give them a high WP (in a non-spellcasting monster WP will be more or less unused but for Fear tests) and ranks of training in Discipline. But note that your player, the Morr priest, actually spent resources on buying the action card that gave him the opportunity to cause fear. If you as the GM then start messing about to make the card unusable I think he may become a bit annoyed.