All those characters were villians (pretty much serving one purpose - Antagonise then die for the hero to prevail), where as Loki is almost synonymous with Thor's mythical universe. In addition to the family tie between them. He is more valuable alive, even if he isn't interacting with Thor.
I don't understand why people still liked him after Avengers, he completely destroyed any empathy for the character.
All he did in Avengers was tell everybody to kneel and growl/whisper.
Why don't they just improve Thor?