Quite a few characters died in ShB of varying levels of importance, and I would say especailly that the first half of ShB was easily the darkest expansion, which is why I am glad it got a happy ending, which is what the First REALLY needed. ShB is a story about carrying on after tragedy and finding a reason to continue struggling for the people who are still around you, and ending it in tragedy doesn't really make a ton of sense thematically save for the people who couldn't keep going forward, including one of the most important scions, as well as a semi-party member acting as the story's anti-villain which was one of the most emotional deaths in the series. Like would the themes of ShB be aided by the Exarch dying? Not at all, in fact dramatically the opposite, the fact people fought for him to look to a future with new hope and optimism was kinda the entire point of the expansion.
I also think they avoided killing anyone off because in the last two expansions they were pretty willing to just axe some folks. Having a breather expansion before stuff gets real. Like the back to back whammy of how bad things got in SB combined with how bad the start of ShB was emotionally (I literally had to stop playing while recruiting Alisae because of some intersection of seeing a Sin Eater being made and real life stuff) would have made the emotional roller coaster of FFXIV a really damn bumpy ride because it keeps slamming into the floor.
Finally there is the fact that The First is an alternate reality with limited connections to The Source (for now at any rate). Character deaths aren't really going to matter as much because they won't impact relationships with 99% of the current cast or plotline, compared to most of the SB deaths which created very significant status quo changes down to us losing two whole scions. Killing a character in ShB would only make sense for thematic reasons, or as a pure emotional punch, and everyone frankly was expecting a big one. The fact there just wasn't a good reason for anyone (Besides, you know, the Ascians, who now feel 'wrong' to kill in a sense, it feels like murdering a Unicorn) to die on a narrative or emotional level meant no one did.
It is interesting to notice also how Sorrow of Welryt and Bozja, taking place on the first, got to play with ShB's themes of carrying on after pretty extreme losses with massive bodycounts both, because unlike in the First those deaths affect characters who are ongoing concerns, and it was needed compared to the First to establish a great loss that felt insurmountable, because they didn't take place on a world that seemed to be slowly dying with absolutely no future, so the deaths were way more appropriate.
If you don't like the endings of ShB and the lack of death, I can't say you are 'wrong.' Everyone interacts with stories differently and takes different things away from them, but I think killing off The Exarch or whatever would have actively made the story worse, because ShB would have become 'you need to carry on even when life seems ugly and you don't feel like you have a future, but WHOOPS life really IS ugly and the future will constantly be stolen from you, SUCKER!" It wouldn't have had the same impact as say... Haurchefant dying because the cycle of violence that HW is about will go down swinging and claim as many lives as it can on the way out, or Yotsuyu dying as someone who is paradoxically unforgivable and yet at the same time clearly had no real choice in who they became getting us ready to sympathize with the people trapped in the system of the Garlean Empire.
Those stories were highly elevated by their deaths, because they tied so heavily into the themes of the cost of escaping the cycle of violence for HW and the idea of morality being good but also a luxury of a moral environment in the case in SB. But ShB wasn't a tragedy, it was a story about recovery and finding a future after tragedy. Which is why the trailer so heavily plays with this: The Emmet Gremlin taunts you with the idea of a good future being an impossibility, while the Exarch declares that if the future seems like an impossible concept you must rewrite it. Which is why, in Future's Rewritten, he was rewarded with the chance to explore the future he didn't think he was gunna get, and why The First got its future secured in Eden as well.

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