Because he lacked the resources to overthrow his cousin, King Deun Jing Ming, and claim the Dali throne, Deun Yin Hing hired himself and the other three Great Evils out to the Hsi Hsia Kingdom to be key fighters in Hsi Hsia's elite task force, the 1 Bun Tong. Undoubtedly, the deal was something along the lines of the Four Great Evils assisting Hsi Hsia in return for future troop support when DYH was ready to take over the Dali Kingdom.
Even if Deun Yin Hing had succeeded in claiming the throne of Dali through this arrangement, however, wouldn't it be a very bad look for a ruler of Dali? Essentially, such an arrangement would make Dali a vassal state of Hsi Hsia, which I'm pretty sure the citizens of Dali would not have been keen on supporting.