Jedah Dohma is the Dark Messiah, a 6000+yr old demon from the realm of Makai and leader of one of the three major houses. He is ranked among the most powerful demons in Makai at S+. Destroying worlds would be simply for someone of that level. Pyron, who is only an A-ranking, can melt and consume planets.
Jedah created a pocket universe known as Majigen using the soul of his former servant to create a container to hold all the souls of every living thing from both Makai and the Human World. Jedah also had not only sent out a telepathic call to all the Darkstalkers across dimensions, but transported them to Majigen, along with entire landmasses to use as battlefields.
Jedah can take the souls of others to make himself stronger and is doing all of this to unite all souls and create a new God to remake everything and bring about eternal peace. Jedah is also tied to the realm of Makai itself and has the power of self-resurrection. Even if he were somehow to be killed or destroyed, Makai would revive him again and again, until his task is complete. Jedah's body also changes from liquid to solid, making it extremely difficult to do any actual harm.