I was wondering what happens to devils if their king is killed? Do they become strays? And what if they have their own peerage? Does every one under that king including his pieces peerages become stray devils?
If the King dies the King dies, that's all. The servants go on with their lives. Koneko used to have another master but he died. She was alone for some time until she formed a pact with Rias. If she had had a higher status she may have had her own servants.
Konoko's sister Kuroka killed her master. Now, that's another story. She lost her ranking and became a stray cause it is a bad thing to do. If you abandon your master without good reason the same happens (for example, you may leave and go solo if you have servants and good ranking. Rias actually mentions it to Issei even though she doesn't want that). The servant is still forced to fight for the master in rankings/times of need.
Volumes 5 and 6 are good for this topic.