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The thing I love the most is how the world-building really came together in Cold Days. The whole existence of Sanctum explains a lot about the world: all the old, dark gods and immortals are locked away, leaving the Fae as the dominant remaining supernatural faction. You can't lock away the winter court if it battles to keep the world whole, right? The courts of the vampires and Fomor consist mostly of, if not mortal, at least NOT immortal creatures - creatures that probably were not all that powerful in Merlin's time, and so overlooked. After all, the naagloshii are the weakest creatures in the Sanctum, and Merlin did not lock away even all of those. All the powerful creatures Dresden encounters are usually either a more recent creation - Denarians, presumably organized of the silver coins of Judas - Fae, or creatures overlooked that have since had time to gather significant strength: the vampire courts and fomor.

Sanctum also makes sense in that while Merlin -considering the feat of strength it took to raise the place - probably could have taken on most of the immortals one on one during Halloween and so slay them permanently, this would have had a great chance of misfiring: only one day of time in a year, leaving time for the evil immortals to band up and take him on.

With the Sanctum Merlin has the freedom of choice concerning when he captures them - in theory I think it's possible that if he knew the true names of the immortals, he could have used the Sanctum itself, after construction, to summon and bind them all in a relatively short time frame.