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The reason was simple: they had no way of taking Eli from him at that point. In addition, killing him would necessarily implicate Eli's life as well. As a final measure, Dyon had essentially taken his own friend's life hostage. It wasn't the morally upstanding thing to do, but if he and Eli ever wanted to get out of here, it was the necessary thing to do. 

Dyon went out of his way to show the Heaven's Children that he could negate their abilities, albeit for a devastating price. As a result, they had no way of knowing whether killing him would actually kill Eli as well. Even if they didn't understand the intricacies of [Inner World: Sanctuary], they would have to be careful. 

Of course, Dyon's inner world collapsing after his death likely wouldn't kill Eli. Dyon's cultivation wasn't powerful enough to form a world completely without the overseeing of the Heavens, meaning Eli's life was still protected.