If villains were pragmatic enough to just grab the hero and drop them into a volcano or whatever, there'd be no story at all.

More importantly to this specific instance, Fandaniel wanted us to go to the moon and kill Zodiark for him to restart the Final Days. Killing us off before that would defeat his own goal. "In From the Cold" was basically just elaborate theater to get us to stop faffing about with the rabble (as Fannypack and Zenos would see it) and get back to their plot.