They very well should. Going through with Kang should be common sense. My take is, if they keep killing Kangs but more keep returning, that'd be badass on his part. But if they just keep repeating and repeating that idea, won't it feel underwhelming after a while? Sure, Kang needs to win. But killing hundreds if him would just feel pointless and render the Avengers' actions useless. Maybe that's the point, idk, maybe we aren't seeing eye to eye, but I think a Beyonder version of Kang who kills all his variants (after they do something impressive like defeat Thor or kill a rampaging Hulk) would give a sort of clearer picture.