Well, also keep in mind that a large gathering of Immortals is going to garner attention.  The problem with having just another Immortal as the main antagnoist is that we can only, according to the rules, fight the antagonist one at a time.  The movies and series do disagree with "what enforcement" of the rules there is, but I assume there is some bad consequence.  The series often hinted at organizations devoted to hunting down Immortals and taking their heads to keep a singular Immortal from gaining the Prize.  I think there was one guy running around trying to kill an Immortal thinking he would gain their power.