They can still be captured by enemies, rebuffed by guards, etc. While death is not a threat, physical force can still stymie whatever plans they might have. And while death is not a threat, imprisonment certainly is.
You're right - some fights will be dramatically interesting because of the threat of capture, or being delayed long enough that the PCs can no longer accomplish their goals. But most fights won't be (which is my point) - most fights will simply be rolling dice until the PCs finish killing all their foes. That's insanely boring, and should be skipped over whenever it starts to happen.
How do you contain a guy that can literally cut off his arms for the chance to kill you?
How do you contain a guy that will headbutt his way through any wall you try to immure him in?
How do you contain a guy that can shrug off the worst punishment you can dish out and keep coming for your head?
How do you contain a guy that wears a tactical nuclear device as a backpack, and has the trigger rigged up as his hold-out weapon?
Because all of these are things a GM for such a game will have to think about. (He doesn't have one? Horse-hockey; anyone who can't die and tries hard enough can get a tactical nuclear weapon, eventually.)
While some villains have rockets / teleporters to the heart of a sun, most don't. (Even if they have the resources, most won't think of it.)
The drama of a game like this won't be in combat (usually). The drama will be in characters and goals. Relationships and how they develop, what the PCs try to do and how they do it, and the reactions of those around them are the keys to this story. It's like a good Superman story - it's not about the fights, it's about the characters.
The lack of death means that 90% of all fights are dramatically meaningless, they exist for the characters to show off their combat prowess. That other 10% will not be meaningful for the combat, they will be meaningful for the
consequences of the combat and how the combat is handled. (Consequences can include endangered loved ones, missed opportunities, lost resources, foiled plans, and damaged relationships.)
The point I'm trying to make? Don't focus on fights - in this game, most violence will be boring.