I just finished watching Damo and loved the series!
To me the reason why Yoon didn't run away with Chae Ohk earlier was because he was trying to rise up in the world. He had struggled his whole life with the status of being "a son of a mistress". If he had left earlier with Chae Ohk and lived as a commoner, his status would have remained the same. People would continue looking down on him. Yoon was a proud and frustrated man with a lot to prove to himself and others.
But when he realized that he was losing her, he did step up. That is, between ambition and love, he eventually chose love. But it was too late ... You really don't know what you have until you lose it. So cliched but true.