His martial arts was comparable to Mie Jue, and his lover was violently killed by her. It seems strange for someone of Yang Xiao's abilities and personality (arrogant, highly intelligent, stubborn) to not seek vengeance. Even if Mie Jue technically had the right to kill her by being her master, Jianghu rules pretty much allow anyone to seek vengeance for a close one. He didn't even seem to think of vengeance or hatred when he saw Mie Jue.