Think about what Odin is in both game and in mythology... SE obviously just added a way to make Odin invincible and that also ties in with the gameplay. He makes the warhorse print that was mentioned before, used for assault ranks so it's best he isn't killed anyway because if he was kill-able there would be no print for a while and then everyone would complain. Odin, like Bahamut etc, was never meant to be properly killed.