I’ve often wondered this, so thanks for sharing.
As an aside, I’ve always pronounced it day-mon, but I recently learned that many others pronounce it the same as the modern word “demon”, and indeed that seems to be the proper pronunciation of the ae ligature.
Wikipedia: “In the context of computer software, the original pronunciation /ˈdiːmən/ has drifted to /ˈdeɪmən/ DAY-mən for some speakers.”
I have heard the “day-mon” pronounciation from an American in a literary context. He may have erred as well, maybe because of his tech background, but there are people who “mis-pronounce” dæmon to be explicit, me included :)
day-mon seems to give more context to the subject matter of a conversation. I’ve only heard international students while I was in school pronounce it demon.