Firstly, this matter was more complicated than it seemed on the surface. Dyon's real opponents weren't these Immortal Gods. Even if they were Immortal Gods, he still saw them as ants, albeit ants that were a bit larger.
His true opponents were the Heavens. He might have broken free from it by sacrificing his soul, but things wouldn't end so easily.
It was fine if he laid out diligent plans for up until he regained his memories, but once he did, the Heavens would have its sights completely focused on him. What would happen in such a case if he had pre planned routes to take? Wouldn't it be too easy for the Heavens to cause everything to go awry?
Comparatively, if even Dyon himself didn't know what all of his next steps were, it would be harder for the Heavens to intervene. After all, it wasn't as though the Heavens were a tangible being, the methods by which it could interfere for enigmatic and difficult to comprehend even for Immortal Gods.
