That's doubly fucked, if he'd been strong enough he could have saved her, but on the flip side, if he had just believed in her she wouldn't have gotten erased (since the "duke" probably wouldn't have cared and just killed her regularly at some point).
Damn this is the first big loss of the series (aside from Issac).
Though I'm pretty sure most of us reading expect him to go back to the actual "true" beginning at some point so he can protect everyone (including the succubus lady) eventually.
So the loss (while still sad) doesn't really feel permanent (at least not yet anyway), especially since the quest is still there.