Log in to multiplayer and host a game. Select the Demon Assassin as your playable character. Then exit out of multiplayer
Go back to single player mode and check. DA should be unlocked
These two steps worked for me! Eventually. 
The key step for me was logging into my online Demigod account and setting up a multiplayer internet game as the host. The Demon Assassin was selectable (and I selected him, of course!). After cancelling out of the lobby and returning to the main menu, the Demon Assassin remained available for other game modes (single-player, LAN multiplayer).
Just setting up a multiplayer game wasn't enough - I had to host an Internet game.
Can't wait to surprise my friends at our annual Thanksgiving LAN party - they don't know about the new character yet, and probably won't have him unlocked after patching. Heh-heh-heh...
[edit] Forgot to specify I am using Windows XP [/edit]