Mo Fei left the city, found a deserted area, and transformed directly into Deathwing, soaring into the sky.
He did not immediately pursue Gul'dan's fleet, but instead flew towards the direction of Blackrock Spire.
Although Deathwing was powerful, he was not invincible. A health bar of one million might seem abundant, but Gul'dan commanded an army of over ten thousand, an entire fleet,
with dozens of warships, which generally were equipped with heavy artillery such as ballistae.
Those things inflicted bonus damage on giant units; a single hit could deal thousands of damage. If dozens of ships fired at once, even Deathwing wouldn't last long.
Add to that Gul'dan's own formidable power and the many strong figures under his command. Though going in alone probably wouldn't pose any danger, and he could still escape if needed, it would be quite embarrassing if he somehow managed to fail.
As the Black Dragon King himself, why not use his underlings?