Finally, it worked!
I've downloaded a non-retail ROM with NaviFirm, and installed it with Nokia Care, and now the demo content is gone!
Anyone wanting to know how to do this:
1) run a search in this forum for links to download Nokia Care Suite and naviFirm
2) use NaviFirm to search and download the ROM for your device: Lumia 710: RM-803 and Lumia 800: RM-801 (do a serch on this forum just to be sure which RM you should download for your device/country).
3) if you see several ROMs for a given country, as @Anseio wisely suggested above, download any of them that DON'T say RETAIL on it.
Also try to find a carrier-free ROM. You'll see some of them are labeled Vodafone, Movistar, T-Mobile, etc.. I haven't tried flashing with one of those so I don't know if they have demo content or not, try to avoid them just in case.
Stick with the ROMs labeled "Country Variant", non-retail, carrier-free, and for your country (or some country in your own language)
Note: Even if it's not for your particular country that's listed in the Country Variant (I'm from Argentina and downloaded a version for Spain) get one that matches your language at least, or just go with english (I think there's a Country Variant for UK.. I would suggest trying that one). Also, don't worry if the device's color in the ROM description doesn't matches your own. I have a white lumia 710 and installed a ROM that said "black".
4) Once the ROM is downloaded (mostly around 350mb), see this guide for instructions on how to flash your device with that ROM:
http://xdaforums.com/showthread.php?t=1457341 using Nokia Care Suite.
It takes less than 5 minutes to flash the device and have the demo content gone!.
Let me know by PM if you need further help.
Good luck!