Gameplay =/= Lore.
And Orxy doesn't die in the story mission. Should be obvious since the location you fight him is not his throne world.
The Raid-Oryx looks massiv, is very powerful and requires (as designed) even more than just a single guardian to defeat him.
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Actually, the whole of the Dreadnaught is Oryx's throne-world. He simply moved himself into a different section inaccessible through normal means without beginning a Hive Ascendancy ritual of his own devising.