To hold others hostage was a very tacky way of doing things and a very tasteless way at that. Jiang Yi might have done wrong, but the people around him should not be punished for it. If news of this were to spread, the Dao Clan's reputation would be dragged through the dirt. The Azure Supreme Thearch's reputation would suffer as well.
However, given the Dao Clan's power, they probably would have been able to destroy any evidence available. They would not leave a single clue that they had anything to do with it. Jiang Yi strongly believed this point.
He was also very clear that this method of doing things was extremely effective, especially if directed at people like him—who were especially sentimental and loyal. The Dao Clan had obviously done a thorough analysis of Jiang Yi's character. They knew his weakness well.