Duan Mu had personally dealt the finishing blow. At that moment, his heartbeat was so fast that he couldn't think straight. After killing Xu Shan, he left with the other Shadow Hall Masters, not giving the Queen an opportunity to arrive and apprehend them.
As an assassin, their first aim was to always retreat after a successful or even failed assassination. They weren't warriors and Duan Mu didn't want to take risk either as his Demon Bloodline was still barely awake.
Everything happened so fast that Duan Mu didn't think much. But when he returned to the Shadow Hall and had a moment to think about it, he started noticing flaws.
Xu Shan was said to be strong enough to the point that even Heavenly Punishment couldn't kill him. He was able to kill a Divine General with a single attack. He had even suppressed the Divine Queen. Did it truly make sense for him to not even be able to react to his attack?