Am I the only one getting a little comfused? The way I interpret the lore, the Sovereign is immortal, as in "does not die of old age". But the Sovereign is not invincible, as in "cannot be killed". I think there's an important distinction to be made.
ON TOPIC: I would really like the option of having sovereign death = end of game vs. dynastic empires (ie. the game continues as long as the royal family exists) to be implementet as a Game Condition of some sort. Personally I would play with the Dynastic Empires, because that somehow makes the world come more to life! Deciding whether or not to send the Scion of the CoffeeMonkian Empire to war against the enemy would have a much more personal attachment than just having to protect the Sovereign at all costs.
I think I remember seeing somewhere that the Sovereign would be able to grant other characters (including children I assume) a part of his essence. So even if your Sovereign took a meteor to his face, you could still be in the game, with the Scion (also a powerful channeler on his own right) seeking to avenge his father and rebuild the Empire... Or some such.