House of the Dragon introduces many intriguing characters, but few are more captivating than Daemon Targaryen. His actions may paint him as a villain, but the character played by Matt Smith is more complex than that. He may make life difficult for many, including his brother Viserys, but his own circumstances are less than ideal and influence his misgivings.
Spoilers ahead for House of the Dragon.
Daemon Targaryen shows fondness for his family, but it is often overshadowed by his elaborate schemes and plays for power. His petty behavior at not being named Hand of the King is more a reaction to being overlooked by his brother than anything else. The retraction of his succession status adds more fuel to the fire.
If not for the underlying familial loyalties, Daemon would likely have sparked mutiny or a larger scale invasion long ago. He even has second thoughts when with Rhaenyra in a King's Landing brothel. This can be open to interpretation when considering his overall mind games, but one reason for him leaving abruptly could come from a sense of guilt and worry about the situation spiraling out of control.