Being one step slow means being slow every step of the way. By the time Zhu Jiuyin and the others returned, the Conferred God War had already begun. Even though relying on the foundation of an Innate Demon God to prove themselves as True Immortals, they were still slower than veterans like Pei Xuanjing by a margin. One could say that these individuals were in the same tier as the Jade Emperor and other similar beings.
Comparing them to the likes of Pei Xuanjing and these powerful figures, ultimately they were a step behind, which meant the resources they could capture were also a step behind. This way, there would always be some gap between the two sides.
Perhaps for some veteran Taoist Monarchs, they ultimately fell behind due to various reasons over time; however, Pei Xuanjing has always remained ahead, even increasingly so, leaving them far behind.