Xykon knows very well he has lost everything that made living worth living. Yes, he enjoys his undeath, his cruelty, his evil... but from all the things he had and loved as mortal, that is the only thing he has left.
What else can he do but uphold the only thing that he has?
Or: "What good is life if all the other things have gone?"
Xykon is a liar and a bluffer. Xykon never liked his own ego tarnished. A lot of what he tells and shows is fake.
The change in SoD from "horribly evil but still somewhat charming and human" to "purely abomination" is very sudden. It's the scene in the diner where Xykon suddenly realizes what he actually has lost in the transformation: All the little things that make us human (and in some way, dieing is also part of that - and even that isn't open to Xykon anymore).