God made the angels.  A spirit , a being that has understanding and free will, but no body and will never die. Demons are pure spirits  Even devils do service to God, since God always turns the attacks of the devil to show forth more brightly His own glory or to punish sin, convert sinners, or provide some means for the practice of virtue.  God permits us to be tempted or order to try us, to let us win an eternal reward. (My Catholic Faith)

I don't know how official you want, but The Mystical City of God (PDF FILE) speaks about this indirectly.

If you start at Chapter VII or at Paragraph 80 through about 83 (good luck stopping there) I think you will find it fascinating - I sure did.

Basically, He created them as eternal beings, but like us, they still needed to be tested in order to prove they were worthy of heaven. It seems when He creates something to last for eternity, He creates it perfectly - it either warrants eternal bliss or eternal punishment - but annihilation would seem to say the thing He created was in some way imperfect I think.  

Read those few paragraphs and see what they say, I think it explains a lot.  


 

Many thanks for the resource. Will read tonight.  :reading:

From St Catherine of Genoa;
 
Of God's admirable wisdom in making Purgatory and Hell.


As the clean and purified spirit can find rest only in God, having been created for this end, so there is no place save Hell for the soul in sin, for whose end Hell was ordained by God. When the soul as it leaves the body is in mortal sin, then, in the instant in which spirit and body are separated, the soul goes to the place ordained for it, unguided save by the nature of its sin. And if at that moment the soul were bound by no ordinance proceeding from God's justice, it would go to a yet greater hell than that in which it abides, for it would be outside His ordinance, in which divine mercy has part so that God gives the soul less pain than it deserves. The soul, finding no other place to hand nor any holding less evil for it, casts itself by God's ordinance into Hell as into its proper place.


To return to our matter which is the Purgatory of the soul separated from the body when it is no longer clean as it was created. Seeing in itself the impediment which can be taken away only by means of Purgatory, it casts itself therein swiftly and willingly. Were there not the ordinance it thus obeys, one fit to rid it of its encuмbrance, it would in that instant beget within itself a hell worse than Purgatory, for it would see that because of that impediment it could not draw near to God, its end. So much does God import that Purgatory in comparison counts not at all, for all that it is, as has been said, like Hell. But compared to God, it appears almost nothing.


http://www.cfpeople.org/apologetics/page51a013.html