Once the Divine Kingdom Contest concludes, they must return to the prefectures they control. At that point, even if the Sovereign wished to protect them, he would be unable to do so.
The Destiny Canyon is said to be a trial ground established by the Creators of this world for the various Divine Kingdoms of the Tiannan Continent, specifically targeting those beneath the level of Divine Venerable.
Anyone beneath the level of Divine Venerable, regardless of age, may enter.
Chapter 3901