Whoever said peace is the only way out lied to you all.
Sometimes, you have to use threats to get what you want.
Klaus knew that, so he manned up and threatened the dragon that was nearing the stage to ascend and become a Supreme God before Paragon captured him, Klaus's first incarnation.
Klaus also knew how to play his cards, and this time around, he went for the ace right off the bat.
The dragon up in the air was a being that shouldn't even exist in this known universe. So the fact that Klaus had just threatened it was bold—perhaps even stupid.
But it got the job done.
Knowing his past as Paragon, the one who imprisoned this dragon, he understood that, in some way, the dragon feared him. So he used that, and it worked. If one of him could imprison a whole Pseudo Supreme, imagine nine of them.
The dragon is smart, so it chooses to tread carefully.
"The Monarch of Despair," Klaus echoed what the dragon Allister said.