Long Xiao was just one of Supreme Elder Lei's many disciples. Although Long Xiao was his favorite disciple, Long Xiao's absence did not affect him, who had lived for tens of thousands of years, at all. In fact, he had mostly been determined to avenge Long Xiao because of his reputation. How could he not do anything if someone killed his disciple? It would be embarrassing if word of it spread out.
However, the more Supreme Elder Lei heard about Duan Ling Tian, the warier he became. After weighing the pros and the cons, he decided it would be bad to make an enemy out of Duan Ling Tian. It no longer mattered to him even if it would be embarrassing.