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I imagine they wanted a place that is more secure than some alien world. They were all paranoid and fearful that when they'll be deprieved of their minions and resourcers one of their enemies, which they all doubtlessly had many, would take this opportunity to take them down. So they've created places of their own making where they couldn't be reached, ordered their minions to rebuild their power ase while their away, and expected to return when it will be safe again. They just haven't expected the destruction of Thassilon to be so thorough.

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Because they were arrogant and thought that they'd be able to just go into hiding for the short term and were too proud to abandon their nation and home to do so. Because not all of them were capable of teleporting to another plane or planet.
Same reason you always see some folks not wanting to evacuate their home in the face of an upcoming disaster, to a certain extent as well.
But also because that wouldn't have made as interesting a story. (And it's worth remembering that not ALL of the runelords used runewell demiplanes to try to escape.)