Not being afraid doesn't mean Leon wants to challenge those Demon Lords or Great Devils.
He can't just abandon the colorful world of the Material Plane and run off to rule the Abyss or the Nine Prisons, facing demons who love fighting and killing, or devils obsessed with schemes and calculations. It's not worth doing without benefits.
Although the Heavenly Immortal Pill has been refined, the matters he needs to handle are far from over.
He has quite a few subordinates available now—ever since he vanished an entire powerful Fire Giant army with a gust of wind and cut off the head of the Flame Divine Successor with one sword strike, the Kraken has become quite docile—those chaotic matters can all be handed over to his subordinates, but there are some things only he can accomplish.