We did what we had to do - the alternative was, as Elidibus suggests, allowing another Calamity to come to pass. (Of course, just why this kills Thordan and not Ysayle I couldn't say.)
Thordan's not dead. He became a primal and when we defeated him, he did what all primals do, dissipate back into the aether. With enough crystals and prayer, a particularly religious cult could summon him back into being. The reason this is unlikely is the only people who knew what he became aren't too keen on that happening. Ysayle's power is more akin to summoning. She summons her idea of Shiva into herself, but she still remains in control thanks to the Echo.