Like, if Dæmons can shapeshift while a person is young, can they change into any species? How about an anthropomorphic creature? Can they change at will? Or at the child's will? Is there a size limitation?
Could a curious teenager have their Dæmon change into some kind of anthro sex toy?
Would having sex with a Dæmon be considered bestiality? They're not really animals, but rather an animal-shaped manifestation of one's soul, intelligent and able to speak the Queen's English. Would there be some sort of cultural taboo against having sex with your own Dæmon?
Do Dæmons have sex with other Dæmons? And can they bear young? If a human has a child, a Dæmon is somehow formed along with the baby, so would a Dæmon baby spawn a human?
If Dæmons and humans can feel what happens to the other, what happens during sex? Would a human experience an orgasm because his dog-Dæmon was humping his leg? And what would happen if a human and Dæmon had sex with each other? Some kind of super-orgasm?
Obviously there are non-Dæmon animals, since we see Iorek Byrnison eating meat at one point. So how can you be sure that the creature you're about to kill isn't a Dæmon, which would result in the death of the linked human?
I didn't know bears could teleport.