But you've got to remember, heroes seems to have moral standards and if they kill the villain, that would mean that they're just stooping down to the villain's levels, something I don't think the hero would like to do.
Like Batman for example, he would never kill the Joker, it's to do with one of his rules, which the Joker uses to his advantage. Besides, I reckon that the villain also makes the hero. If there are no villains, then what use is a hero?