About might, it depends on how easy you want the combat to be / how do you want it to be solved. The corebook Flambeau has, for the following mights, roughly these chances:
- Might 15: Pilum of Fire hits every time except on a botch. Ball of Abysmal Flame hits around 2 out of 10 times.
- Might 20: PoF hits every time except on a botch. BoAF hits 4% of the time.
- Might 25: 70% of hitting with a Pilum of Fire, and 0% chance of hitting with BoAF (to hit would require a double 1, it has no statistical significance for the average combat).
- Might 30: PoF would hit once every 10 times. BoAF, pretty much never.
This doesn't consider auras or penetration, so the percentages could go up or down a little.
You don't need a gigantic MR. Might 15 could offer an interesting combat, specially if the demon has a high soak. If you want to make things hard I'd put it at MR 25, but no more, unless you want it to be a physical combat. Remember that if she is losing she will assume an spiritual form and flee. At that point it doesn't matter if she has Might 50 or 5, you can only target her if you can detect her, and Intellego is useless for that.
Then there is the point of how you are going to use Dahut. Main antagonist or mastermind (in other words, the main fight is against Dahut or against the mermaids)? If the antagonist is Dahut, you might want a higher Might and combat stats, and Dahut should have more destructive/impactful powers. If the mermaids, lower stats, and Dahut has powers to manipulate and coerce.
What is her role in the story? She aims to destroy, delude or corrupt mankind (see RoP:I p. 48)? This also says a bit about her Order. From what Wikipedia has to say about the legend, I'd frame her as either a Spirit of Deceit or a Tempter. Note that she doesn't need to deceive the players, she can deceive the mermaids. She can also wreak havoc on the mermaids' lair and let the trouble reach mankind.
For inspiration on what kinds of roles she might have / how she would accomplish her objectives I'd suggest you to give a look at Valefar (p. 56), Ataf the Separator (p. 59) and Berith (p.59). Rahab (p.74) and Xaphan (p.76) provide inspiration for a mor destructive demon.
Remember that depending on the role you want for her you can just pick a stat block, make a couple of changes (for example, change Xaphan's fire related powers for water related ones, or pick Rahab and reduce his might), this might be easier than designing a demon from scratch.