The reason he didn't feel worried about copying Kukan's is because the energy he needed for hers was quite literally all around them. What the immortal plane was lacking in the least was void qi. Let alone copying a small part, even rebuilding a copy of the whole would be as easy as breathing.
Dyon only needed to do one thing to make things even easier on himself.
In his last life, he never relied on the Primordial Yin of his wives. For one, he was too arrogant to do so. And secondly, he was always subconsciously drawing a line between himself and them.
However, the Dyon of now knew that the key to defeating the Heavens was to stop solely relying on himself. It was this thought process that caused him to ultimately lose even when, by all rights, he stood unmatched in the world.