Primarchs are tough, but the 40k galaxy has weapons like nukes, quake cannons, exploding battleship cores, that (as far as I understand from this thread https://forums.spacebattles.com/threads/40k-can-a-primarch-be-killed-conventionally.667045/) they aren't immune to. The same applies to combat heroes of other factions like Commander Farsight, Phoenix Lords, mortal traitors like Abaddon, Swarm Lords. Some things like chaos demons (which, by now, includes all the confirmed surviving original chaos primarchs), necron lords, and imperial saints can respawn, but the above mentioned hero units cannot (I know Guilliman is rescued from death at the hands of Mortarion by the Emperor, but my understanding is that was only because the Emperor could possess Guilliman's body, which wouldn't be possible if it were vaporized). So if your fighting one of these armies and your troops learn the location of a high value enemy, why not expend the nuke/quake shell/battleship to take them off the board?

Obviously, the doyelist reason is that having heros who get out there and fight, but are still at a real risk of being killed makes for very good stories, but it gets weird when this tactic is sometimes used, for example by the ultramarines expending an Emperor-class Battleship to take out a Swarmlord over Macragge. Why not end Abaddon the same way, for example?