Let me just posit a hypothesis. I don't think there is any intrinsic reason why governments with democratic governments would not wage war with one another.
War is a very serious act.
Perhaps a country with a democratic government will think through the ramifications more thoroughly than would an autocratic regime. Two governments doing such an assessment of the possible consequences of mutual war might more easily find reasons not to fight than two similarly situated autocracies. However, in the end, countries will fight if they believe their interests and their situations require it. In such a situation, the democratic character of their governments might actually give their leaders less room for maneuver to avoid conflict than they would have if they were autocratic regimes. I believe that the record of the first three-quarters of the 20th century is not sufficient to test the question of democracies and war.