Lily's departure was expected. It was a reminder to Hao Ren that he would have to complete the journey all by himself ultimately.
After the great battle of the Twilight of the Gods in 44 BC, the journey back in time went further and further back in history. In Hao Ren's eyes, the world was strange during the BC era. The time-travel journey had utterly changed his view on history. History, as recorded by humans, was inaccurate. All the more so when it came to records about the era of the ancient gods. When there were too many supernatural elements interspersed throughout recorded history, materialistic historians of later generations often chose to separate the myths and legends, and they allowed the scholars of religion and mythology to deal with them. But for Hao Ren, those things that the historians removed were his personal experiences.