Yeah, for some reason he needed your soul to leave. Maybe all those years in Apocrypha got him somewhat attached to the place, like Durnheviir or how you got part of your soul in the Soul Cairn. Good thing we don't have to stay there so long then.

I suspect that Mora led him to believe that he needed your soul to leave, to cause the assassination attempt that brings you to Solstheim and Apocrypha in the first place, causing the whole chain of events by which Miraak dies, Mora learns the Skaal secrets and replaces Miraak with the Last Dragonborn
Also, Zelrion - "I'm a god, how can you kill a god? What a grand and intoxicating innocence! How could you be so naive?!" Admittedly, we could kill Dagoth Ur, but only because we stripped him of his godhood. The Daedric princes we couldn't even harm in their own planes. We could only defeat the aspects of Hircine in Bloodmoon because he allowed us to (It was a fair fight), Mehrunes Dagon was defeated by other gods in all other instances (Almalexia/Sotha Sil and Martin Mantling as Akatosh), and we could only defeat Jyggalag because we were Mantling Sheogorath.
God's don't have health bars because Dovahkiin can't hurt them. They are so much more powerful than you could imagine.