The pieces of Dalamud don't actually contain Bahamut. He's actually underground beneath the Carteneau Flats (his head is anyway), and the Dalamud pieces are, for some reason, all leading to where he is. Alisaie notes that the bindings on Bahamut's wrist are strikingly similar to those on Twintania, hinting that they may have actually been able to control him to some extent. There are a few reasons he may have been sealed away rather than killed. The most probable is that Primals are incapable of being permanently killed, and they imprisoned him in a corporeal state to prevent him from being resummoned. The Allagans actually did the same thing with the elemental Primals and Odin, but through different methods. The second idea goes back to the hint at their being able to control him. It's possible they were weaponizing Bahamut and put him in the sky in case of emergency.