Planned sequels are one reason for letting the main bad guy survive. If you let people completely save the world in a game, then the sequel has to un-save it (either through time, an evil apprentice you never heard about in the earlier game, a cult dedicated to resurrecting the old bad guy, the 'real' main bad guy showing up, etc).
Don't worry about getting rid of Damian; there is still the Lord of Chaos to cause enough problems to start another story arc.
