High Level Play

Maybe consider not putting things in the game that the players don't find fun

I completely agree.

But holding ones own against an alliance of gods is not merely by being more powerful. It would most certainly require a god to be more ruthless and corrupt than all others. The God Lopt comes to mind. He used guile, deception, illusion, seduction, and intimidation to turn gods and giants against one another for his benefit.

A striker as you described has the role of ascending as Father or Mother. It is detestable if it becomes a villain. That is probably why it recieved such a visceral reaction. At least as I see it and most cultures I have studied. How could Thor, Friend of Humanity be a villain?
When playing against heroes it is the villains role to lose but win by corrupting the heroes to their fall - you either die a hero or live long enough to become the villain. Sigurd, Horus, and Gilgamesh are great examples of this. The Villain cannot win this story, except as a catalyst for the heroes to become greater still and rise above a nearly hopeless obstacle. Like The Returners vs. Ascended God of Magic Kefka.

When playing against professionals it is the villains role to compromise, and corrupt. To enable the hero to achieve their dreams as a means of profit. To subvert, and control the narrative to alienate and villify the hero. See Lex Luthor and Superman. The Villain wins based on a Propaganda victory, changing the hearts and minds of the people, at the chagrin of the hero.

Against artists the villan uses aesthetics to undermine morality. "Virtue is based on beauty, one is a hero for smashing a cockroach, and a villain for harming a butterfly." The villain almost always wins this scenario, unless the hero can achieve unity, bliss, and the power of love. Otherwise the villain represents the world, since money will always be difficult to obtain for the artist. I like to use ultra powerful vampires running corporations in this model.

And always remember, in a story the villain needs motive, it has the sole purpose of making the hero better. The Villain is often also referred to as "The Threshold" in old stories, and I quite like that description. But your mileage may vary, and no one answer will satisfy.

Don't do that if you can avoid it. Certainly never use an unbeatable enemy as a total surprise. Unless the game has hopelessness baked into its premise, like Call of Cthulhu, people will generally have the reaction those players did. If you want there to be an unstoppable force or villain or antagonist that the PCs will lose to, no matter what, then you need to make it clear before anyone even joins to play that they're going to be dealing with powers greater than they can handle and that mere survival should be considered a victory.

If you really want to include something that players will lose to and its part of the game premise that such things will occur from time to time, then it is best, generally, to treat them as environmental, rather than directly antagonistic. In the case of the aforementioned dragon, level 4 characters are totally outclassed, so they will fail, badly, if they interact with it at all. Consequently, instead of the dragon coming after them, it should go after something else that is near them, preferably in a lightning strike attack that is more confusing than awe-inspiring or frightening. E.g., maybe the dragon is stealing something important from the castle in the town the PCs live in, such as a magic rod that is the key to opening a lost treasure vault and nobody who lives in the castle knows the rod's significance, and its minions burn down half the town in the process. The dragon gets what it wants and leaves, the PCs can be suitably intimidated, and the actual things they encounter and deal with can be appropriate to their abilities.
The Aesir weren't exactly good guys. I could see Thor being sick of other peoples' nonsense and just going on a murder spree. =p

Thanks for the feedback. The idea was to show them some grandure as well as give warning that they could find themselves in dangerous situtions is care was not taken. But aparenlty the executions was off. I need to work on providing clues and hints without giving things away, or as you said make it an enviromental aspec not an opponent. That should work without actually presenting a no win situation. Thans again :)

He wouldnt care, a god cares as much for human foibles as much as we care about the opinion of an ant.