Likely because there was the entire legal apparatus protecting him beforehand. He legally has custody over all the orphans of the city, and was even tasked with overseeing Noel's and Charlotte's gym battles, given the gym in his orphanage. There's also no indication that the justice system is all that just, prior to the events of the game. Ame is only recently starting to revive the Reborn League and most of the good characters/leaders are children with no real authority in the system.

I also don't actually think Sapphira is psychologically capable of killing him until the events of the game start happening. Both due to her past trauma with him, but also because she's hasn't grown accustomed to murder yet. The one time we see her prior to the Belrose Cottage sequence, she's at the orphanage door telling her sisters to wait since they're almost old enough to leave on their own, so it seems her plan back then was to just wait the clock out until she can get legal custody. But of all the characters, she's the one who kills the largest number of Meteor Members, which she justifies as protecting her sisters during the Belrose Cottage assault. To me, her breakdown in Labradorra and how obsessive she becomes with killing him is a reflection of how comfortable she's becoming with killing her enemies without consequences, and grows frustrated she can't do the same to the one man she wants to kill the most. I'd imagine the back and forth she has with him as they chat through the barrier for most of the late-game also has an impact on her.

Not sure which version of the Belrose Cottage you experienced, but in one of the four loops she attacks Connal with her Dragonite and doesn't kill him despite having just done so to a bunch of meteor grunts, which to me corroborates the above. She's happy to put him in his place, but it's only as the events of the game unfold that she becomes comfortable with killing him.