What's with the decapitations?

Because of the theme of hereditary mental illness that they share, from the grandmother, to Annie (the mother) and the kids... Their heads are not well...

They tried to do the same thing with The Babadook (i think it was depression in that case, I don't remember), but this movie is less on-the-nose and keeps the supernatural thread going until the end...

It doesn't work fully, but we get the gist...

Nothing to do with mental illness, as confirmed by the director on various media sources. King Paimon is very real.

When Annie found her mother's book "Invocations", King Paimon is depicted riding a camel and carrying three heads with him. Three heads are used in the summoning ritual (Ellen, Charlie and Annie). Also, in the note Annie finds near the beginning of the movie Ellen states that "Our sacrifice will pale next to the rewards", suggesting that in order for the ritual to succeed and offering/sacrifice is required, hence the deaths of the three female members of the family. Let's not forget that "it is documented that King Paimon has become livid and vengeful when offered a female host" which would explain why he would "require" the heads of Ellen (for failing to give him a male human body), Annie (for preventing Ellen to have access to Peter, therefore ending in Charlie's body as a substitute) and Charlie (not sure why, but "livid and vengeful" sounds bad enough to even hate his own female host).