Most of the Demigods left the obvious way.
Alucard and Commander Huo, as well as the forces who followed them, went back to the lower universe after bidding their goodbyes to Damien.
They had responsibilities to uphold. Even if they wanted to ascend, they'd cemented themselves in positions they couldn't easily abandon.
The pack of slaves Damien subjugated were also taken along with them.
Those people still had their consciousness, and they could still feel whatever they wished to feel, which left Damien with several glares of hatred as they left.
However, it didn't matter. If they even had thoughts of betraying him or the universe, if they had thoughts of doing anything against the will that he'd instilled in them, they'd lose their consciousness and become true puppets without any identity of their own.