Kai had said his goodbyes to his family and headed to Demonica with Torrigan. He didn't want to leave or progress with this quest because it meant being away from his family. He couldn't even bring his women because they were too weak.
Even if they weren't, Kai still wouldn't have brought them because he didn't like the idea of them fighting against his brother and potentially getting hurt by him.
Another reason why he didn't bring them was that Leo wasn't going to be helping Kai from this point on. He did tell him that the Aion that's here is not the real one, and the real Aion is slowly breaking out of his prison.
Leo told Kai that once he beat the fake Leo, he would take him to Divinity City, where he would begin his Primordial training.
Kai wasn't looking forward to that because he didn't wish to leave his family, but he had no choice in this matter.
"Are you okay?" Torrigan asked
"No. I already miss everyone. This sucks."
