The last scenario was somewhat traumatic, so I was worried, but it somehow turned out alright.
It was hard though...
Because those parties of Lords really are fearsome!
The key to helping your allies survive the Lord rampages was actually quite simple.
All you have to do is park a Flyer at as many cities as possible and the Lord will not invade because they cannot win the battle. You will get a Succubus from Meandor for Ke-nan, but to quickly get a Flyer across the map, the easiest way is to get that Bird summoning spell from Ke-nan or any wizard that has the spell (Wind sphere required).
Of course, the AI will park so many units at their base that the Lord will be able to attack a party not beside the Flyer. And that will send the Wizard into the Void. But at least he won't be defeated.
Though to be honest, they will be so greatly weakened, they won't be much help...
As for you, you just have to take your time expanding. If you move your beginning strong party away from Merlin, he will fall pray to the sudden appearances of Shadow Demons from those pits...
Once you have enough strong units defending Merlin, then you can finally start exploring.
Since your enemy is the Shadow Demons, I migrated the evil Cities I took to Archon (especially useful against the Spirits and you can create the Flyer, Pegasus Rider) and Syron.
On the Eastern side (the Draconian city), I build Flyers as soon as possible. By parking them along structures, you can prevent the invasion of most armies. Armies that do have ranged unit or Spiders might attack, but if you can take out the units that can harm the Flyer, you will be able to survive the battle by ending your turn to Turn 26.
At one point, a single Lord came and attacked. But by defeating it, you get a message that the vicious attacks were letting down. I was able to defeat it with a mixture of Bombers (the refugees), Blinding Flash, an Elder, and a Flyer. Once you can, start spamming Red Dragons and move east in the cave.
And eventually, you will gain the strength to take the special Sword and invade the Shadows. It's pretty cool that all of the races gather together to take down the All-Devouror, though if you already built up your army, you probably won't need to build anything from these cities. It doesn't help with All-Devouror's barrage of Anarchy and Plagues and all.
By the way, what was the point of those Shadow teleporters near the All-Devouror? I don't think anyone would bother taking a detour when they are about to finally defeat the final boss.