Thorathian Military vs the Sentinels with Chaos Lord

Question that came up in a WotC game that we are playing...

Thorathian Military hits everything for 2 and Idealist (who has Chaos Lord title) gets hit first.  Good Hero Bad Hero is played with a +1 attack.  We target Thorathiam Military and kill it.  Should the remaining targets not have taken damage because the Thorathian Military was destroyed?   Or since the damage went first, are the other targets safe from damage?

You can always decide the order of area-effect damage, and all the remaining instances of damage are stopped immediately if the target dealing the damage is destroyed.

This is similar to the End of Days + Bee Bot combo:  End of Days destroys all the villian/environment targets, and the hits Bee Bot, which in response destroys End of Days, halting the destruction before any other hero cards can be destroyed.