I remember reading somewhere that the answer came down to which one was more suitable for Kazuma's taste, and while Megumin is debatably in the same ballpark as far as mentality goes, Darkness is in another planet as far as her preferences go. Kazuma is more interested in her sexually than romantically; her masochistic kink is extremely not to his tastes.
Though imo, he should have just kept Darkness around as a side piece but socially and relationship wise that would probably never work out. The only one that'd work for that is Iris as the main wife and THAT is even less likely to work out as Kazuma sees her more as a little sister/childish than a romantic interest.