I'd like to think Frieren would have picked up that Megumin wasn't a demon as she was familiar with and actually a derivative form of human... hopefully. She'd at least have recognized her as not a demon had Megumin used her magic, since demon magic operates in an alien manner compared to human magic.
...Wouldn't Frieren done exactly same thing to Roxy since Roxy also comes from a demon tribe...?
Frieren doesn't just kill every demons just because they are demons. She kills them since they are just beasts that are harmful but disguise themselves as something like humans. Seeing Roxy would blow half her killing intents away since Roxy isn't exactly remorseless or pretending to have emotions like that of humans.