being a daemon

Every Chaos Daemon we have any fluff on, with the notable exception of the Furies, is merely a parcel of it's Patron's own energy given a modicum of intelligence, personality, and free will- of course the free will part is hampered some what by the fact that the God can reabsorb the daemon at any moment, so they generally do as they're told.

Daemon Princes are in a similar situation, possibly a worse one- imagine what would happen if the God/s who let them ascend was to take his power back? Gruesome.

Well we have the Furies as an example of non-aligned daemons so there is precedent for a chaos daemon not created by a God syphoning off part of it's power. For the most part though the daemons are aligned to a God and with the exception of very rare examples (i.e. Soul Grinders) they can't renounce their allegiance without running the risk of being destroyed, as long their actions some how benefit their creator though they'e pretty much left to act of their own accord.

I'm not sure how Chaos Undivided Daemon Princes work- is it each God imbuing the individual with a portion of their power? Sorry I know I'm supposed to be a fluff 'ead but I don't know

There aren't any species per say, the examples in the Codex and the models that represent them are very rough guides- nothing says that a Bloodletter will look like the models GW makes, they resemble in some manner the god they are formed from nothing quite as uniform and 'un-chaotic' as what is represented by those models.

I imagine there are countless daemons that exist we know nothing of, after all Daemons are the most populous 'race' in the Warp.