Everyone says stuff like this, but remember it's been established that no one in the Order of the Stick knows anything about liches! Several times. And since liches are undead, they require a Knowledge (Religion) check to identify any of their immunities. Vaarsuvius almost certainly does not have any ranks in Knowledge (Religion), so it's not really that surprising that he didn't know this. It is certainly NOT a sign that he is completely incompetent.
Besides, the Chain Lightning was mainly to take out the traps. If it had happened to zap Xykon a little, then bonus.