There were a lot of things left unfinished in the newly named True Void Territory in the Sacred Abyss Universe.
Damien wanted to supervise Thalia's growth so that she could rule more efficiently and provide him with the things he needed from her, but he didn't have that kind of freedom.
Since he'd left good people with her, though, he believed she'd meet his expectations once again, so he left without much worry.
It was a little bittersweet, though.
It was never mentioned, but Damien knew of the feelings Thalia developed when they were hunting together for a year.
He didn't say anything about it, and neither did she, but they both knew.
On her side, it was the fact that she was more worried about the tribe than romance and didn't think she had time for it. More than that, as a future Saintess, she would have to deprive herself of such joys.