It wasn't that Shen Yanxiao was selfless, but because she knew that even if she wanted to hide, she couldn't.
Others didn't know, but she and Xiu knew very well that with Satan's insistence on Shen Yanxiao's shell, even if she hid in the other four countries, once Satan learned of it, he would definitely bring the main force of the Devil race and slaughter his way to where she was. The cities in the other four countries simply couldn't compare with the might of Sun Never Sets. If the Devil race's main force attacked them, it was likely that they wouldn't last long. But in the Forsaken Land, Shen Yanxiao was still very confident.
Her title as the Demon Lord wasn't just an empty title. Every city in the Forsaken Land was built under her supervision. She dared to pat her chest and declare that even the smallest city in the Forsaken Land had much stronger defenses than the capital cities of each of the four countries!