User blog comment:B214/Question and Answers 6/@comment-26293136-20161019070650/@comment-9595671-20161019072229

They can, but at the same time while they can ask for anything, the Devil can't necessarily do what they ask for. Mil-Tan helped show us that.

When he had his first summon with Issei, I'm pretty sure he was asking him something along the lines of making him become a girl. The fact Azazel had to create a device that changes genders I think helps solidify that's a can't-do for a Devil.