Those S-class students that were at Mid Realm Intermediate Stage and above were interested in at least meeting with the demon lord. Even if they couldn't kill the demon lord with their meager strength, they were still confident in their means of escape.
So what if the demon lord could kill them in three shots? What's the use of a demon lord's high damage output if it couldn't hit its target?
For the S-class students that came from unique planets or have a deep background, they had numerous artifacts in their storage artifacts that could even allow their souls to escape if their fleshy bodies died.
For the aliens that traversed the universe, the death of the fleshy body was a common place so they were prepared in case their souls would be attacked by their opponents. That was why most of the aliens had means of escaping with their souls.