Disclaimer: I haven't got the game yet, still on preorder, but I've read through the online rulebook.

The Daemonette powerup means they can only be hit on a 6. My interpretation would be that the 6 to hit would still explode, and the dice being rolled because of the explosions would also be only able to hit on a 6.

Is this correct?

I believe you are correct.

That was my interpretation as well. There didn't appear to be anything that prevented a 6-Explosion.

Correct. The effect is just they are hit on 6's instead of 4-6. Nothing about explosions changing so they still get rerolled. Only 6's hit again. As the rule book states, it's really that simple.