This is quite a hard question, so I will do my best to summarize what I've found on Orcus and Demogorgon. Also, the 4E Book of Vile Darkness has a lot of information about demons lords.
Orcus
- Lieutenants: Vampires, liches, necromancers, cult priests
- Minions: Undead (ghouls, shadows), cultists
- Races: Not relevant for undeads, humans, orcs, half-orcs, ogres and giants
This may be the easiest one, because of all the detailed description about him. From the MM p. 52:
Orcus is worshiped by the undead and by living creatures that channel the power of undeath.
Which makes the choice for a lieutenant relatively easy. On multiple wikis (like here or here), liches and vampires are mentioned as his most powerful worshipers. In the 4E published adventure Keep on the Shadowfell, a human priest of the Cult of Orcus tries to open a portal to the Shadowfell. Also, from the MM p. 53:
Orcus, the Prince of Undeath, has the power to transform manes into undead monsters, most often ghouls and shadows.
We can assume he does that to make them serve him as minions. From the Book of Vile Darkness p. 138:
In particular, orcs, half-orcs, ogres and giants revere Orcus, as do a large number of corrupt and despicable humans.
Another quote from the BoVD p. 138:
Intelligent undead never willingly serve Orcus (they are more likely to venerate the deities Vecna or Erythnul). However, many vampires, liches, and other undead creatures are forced into his service by dark pacts or compelling magic.
Demogorgon
- Lieutenants: Severik the balor (mentioned in the BoVD p. 129)
- Minions: hezrous, aboleths, scrags, skum, various ichytoid beasts (BoVD p. 125)
- Races: tiefling, lizardfolk, half-elf (examples from the BoVD), kuo-toa (Out of the Abyss), Derro (Out of the Abyss). Mostly any kind of creature that has reached a pretty high level of madness.
Not many quotes for the Prince of Demons, but you will find more details in the BoVD.
Other demon lords
Well, when I started writing this answer, I thought I could gather information from websites, books and the like, and summarize my findings here. It turns out, the Book of Vile Darkness from 4E is really the best source of information about the demon lords, so you should probably buy it for the other ones.
They will not die
Once they reach exhaustion Level 5 their speed drops to 0 and they can no longer swim and therefore no longer risk more exhaustion.
How far can they go before this happens?
You really need to change your handle if you can't work out a simple markov chain probability calculation like this one :-)
Assume your modifier to your exhaustion check is \$n\$. Your chance of passing a DC\$X\$ check is \${21+n-X}\over{20}\$.
Once you fail your third check you have disadvantage on your checks. This reduces your chance of passing to \$\left({21+n-X}\over{20}\right)^2\$.
You cannot go any further once you fail 5 checks as your speed equals 0.
You can Dash giving you a speed of 60 feet per round, however, water is difficult terrain for a non-swimmer so this means you can only move 30 feet.
If you swim straight down you spend 3 rounds at less than 100 feet, another 3 rounds at less than 200 feet and after that you are deeper than 200 feet.
You need to check based on swimming each hour at DC10, that is every 600 rounds.
You need to check for a forced march at DC10 after 8 hours equivalent. This is after 3 rounds at less than 100 feet, 3 rounds at less than 200 feet and 1198 rounds deeper than 200 feet, that is, after 2 hours 24 seconds.
You then need to make forced march checks every 150 rounds (15 minutes) at DC11, DC12, DC13, ...
This is a Markov chain with 1 starting state and 2 intermediate states (that are all have the same transition probabilities), 2 more intermediate states (that are all have the same but different from the first group transition probabilities) and 1 terminal state. The only complication is the transition probabilities change over time.
Putting this altogether and calculating to 2 significant figures (i.e. a less that 1 in 200 chance of doing better), a person with a +0 Constitution modifier and no proficiency in Constitution saving throws can go 14.5 miles in 4:15:24. A person with +5 Constitution modifier and +6 proficiency bonus can go 24.7 miles in 7:15:24.
Given that the Mariana Trench (the deepest part of the Earth's ocean) is just under 7 miles deep this is not a major impediment. Indeed, even the +0 wimp has a better than a 50% chance of getting to the bottom with 1 or less levels of exhaustion.
Spreadsheet
Best Answer
None of your game statistics change.
The changelings Shapechanger feature says:
This means if you can’t breathe underwater, you can’t breathe underwater when you use Shapechanger.
Game statistics here refers to everything mechanical about your character. That is, all of your racial traits, class features, ability scores, everything. We see this explained for NPCs in the Monster Manual:
But this applies to PCs as well - your statistics are everything that make you, well, you, within the calculus of the game rules. In the Player’s Handbook, we have reference to game statistics in the step by step character creation section: