What could be harder for two Combat Mages (even Universal ones) than having to kill a creature who's totally immune to magic?

Whatever the answer, the game doesn't care. Anyone who's decided to make something of themselves, let alone earn the status of a 'key character,' is going to have to prove their strength.

So, if the Lord of the Abyss can't be killed by magic, our heroes will just have to find something else that can do the job. They'll just have to make sure they don't die trying.