They only take 1 damage per hit from Arrows/Spells, but melee hurts them just fine. They have the Succubus' Drain Life Aura, so when their Aura hits, they regain life equal to how much damage their Aura did. If it hits multiple people, it can heal them alot, sometimes even up to full health when near death if enough people are near. Getting two together is a death sentence, their Aura will almost instantly kill anyone who get's near them. Get three or more together, and it's insta kill the moment you get within 4 tiles of them. They are attracted to people in stealth mode, and their Aura will reveal you.
They are more deadly than the Skeletal Lich, IMO. Best thing to take them out with is to lure one off by itself and have a Necro/Warrior kill it, the Necro/Warrior can leech through their hits/Aura, so long as only one of them are in the vicinity. I've seen Great Wyrms take them out too, but three Shadow Fiends will drop a Great Wyrm with their Aura. When killed, they generally drop 300 gold, whatever they looted off of people, and sometimes a Vampire Bat statue.