There are a few possible explanation for this is:
1) David swapped bodies with Syd in the first episode, and Syd accessed David's powers. David's powers are fundamentally linked to the Yellow-Eyed Devil, and the Yellow-Eyed Devil appeared when Syd was in control of David's powers at the mental health hospital.
2) When David swapped bodies with Syd, David acquired Syd's memories, and Syd acquired David's. We are shown that this actually happened (at least that David acquired Syd's) when we see the field full of televisions (a recurring image throughout the entire show thus far) with Syd's memories. One important aspect here that I've not seen mentioned in relation to this point (from almost any analysis) is it makes it feasible for memories that seem to be David to, in fact, be memories of Syd's. There are times when he feels like reaching for her hair in the shower, because Syd was in that shower just as David was, and he's remembering her memory. This is further supported by the opening of the episode, where we see Syd showering as we hear the story of the Woodcutter, and at the end of the story we see David.
3) David has actually absorbed Syd, and she is not present in reality/is a part of David's persona. She can see the Devil because she is a part of David now. There are a few aspects here which could suggest this.
The most obvious of these is David's actual power as per the comics. Now we don't know the extent of David's abilities yet, so it's hard to say how true this is, but we know there's a very strong likelihood that he is still absorbing other individuals who he kills or who die near him. Evidence of this includes his dream in the first episode, where we see David leading a variety of individuals from the mental institute in a dance. Dreams' association with the imagination and internalisation is something that I don't think is necessary to go into (as it's a very-well trodden aspect of literary analysis in multiple forms), but in this dream one could argue we are 'literally' seeing David's many personas interact in harmony with one another. Not only do we see some individuals from the asylum, we also see Syd and very notably we see Lenny, an individual who David killed and who is now presumably a 'part'/'hallucination' of David as she and he interact on a regular basis and she warns him of what is to come. Lenny, too, may be associated with a power as it is just after his interaction with Lenny that he and Syd become transported to The Eye's interrogation of his sister, and it is Lenny who convinces him that The Eye is going to kill him in the first episode. Likewise, Lenny's place in reality, even in his memories, is brought into question in this episode, when we return to the interaction with the drug dealer, Lenny is initially at the oven and simultaneously dancing with an unnamed character, and when the Yellow Devil flashes within the memory Lenny at the oven then becomes swapped with the drug dealer, calling into question the interaction we've seen last episode. The Yellow-Devil and the World's Angriest Boy, too, could very possibly be personas which would further suggest there are elements of his ability to absorb individuals which remain.
EDIT: And also something I forgot to mention is how clearly David's memories and perception of reality is very untrustworthy.
Things which may suggest Syd, in particular, is somebody he absorbed (or created) includes the comic character of Cindy, associated with pyrokinesis which is a power we've seen associated with Sydney in the first episode, the body-swapping aspect of Syd (one moment being Syd at the cafe and the next being David), the door opening in the mental institute with no feet visible yet when we pan above the bed we see Syd is there after getting into his room, the feelings David has concerning feeling like he's Syd, Syd's scant interaction with other individuals in his current location (in particular, not interacting with anybody in the second episode and her complete absence of physical actions in both episodes), David and Syd's conversations about it being a romance of the mind, David's rescue in the first episode featuring a moment as he emerges from the pool where it's overlaid with him being lifted off the floor of the asylum (likely, I feel, the moment after he touched Syd but it is possible it's another section) and both Syd and David being transported into The Eye's interrogation of his sister and then appearing in the lake). Another element of this which is feasible is that it could be that there is (certainly at least was) BOTH a real Syd AND a Syd which David has absorbed. The orange hair tie could be an important item to distinguish between these. He could also be projecting her onto an individual who actually is present, but who is not Syd, which could explain the few interactions she has in the most recent episode, and also display why in the rescue scene it briefly overlaid a memory of him being picked up off the floor by Syd with a scene of her lifting him out of the pool.
These are the most likely reasons I would think that she could see both The World's Angriest Boy and the Devil in his memories/mind, which could also both be personas of his in some form.
Other random musings:
Also, the calling of "David" is certainly going to play a very prominent and important role throughout the series. Even in the Halloween flashback, there is a sign which says "David" (16 minutes and 16 seconds into the episode, see here:
http://imgur.com/mCFbhMi) briefly displayed.
There are also some very clear and consistent colour patterns throughout the episodes this far, most notably Blue, Yellow, and Red (white, orange, and green are present to a much lesser extent) but it seems too early to link these with anything definitively (other than perhaps a power; blue or white with Teleportation, yellow something I'm as of yet unsure of aside from the Yellow Demon, red with Telekinesis, and orange being associated with pyrokinesis is the most likely I would think) yet.
EDIT 2: Also I must admit I'm somewhat glad the "Marvel's" was removed from the thread title, it makes the thread much easier to find scrolling through the Off-Topic section