The reason is a bit funny. So, a sovereign goes and gets killed by a monster. The monster has targeted that unit. The unit isn’t dead (it’s a sovereign) but merely transported home to its capital. Monster follows and double kills sovereign – and city he’s in. Game over.
Don't quickly dismiss a mistake - there are some opportunities here.
My idea - turn this into a random value/world event. For instance, randomly, if a monster kills your sovereign, sometimes have the monster declare a vendetta or something to that effect where it will do anything to kill your hero immediately. Have a pop up message appear whenever this happens. I think this adds a layer of depth as, even though you got your arse whooped, now it could be MUCH worse. Also, this covers making your sovereigns death even more painful. I mean, c'mon, if your king dies or barely escapes dying - that should be a pretty big deal. This is a great way to capitalize on that.
Even if you are only talking about monsters vs AI, making this a world event gives great intel to everyone (eg the leader died and a monster is planning on destroying them... hmm... what should i do immediately?).