okay, when I saw the last comicpage I thought she would get a scar on her cheek, not that he would cut her eye out (do that a second time, and she will have a real problem).
But it is interesting that the blade hurts her, when Kor'la wasn't able to with his weapons.
But the last panel should really hurt, too.
She's a daemon. That's no biological body, just a bunch of Warp-energy. She doesn't have "eyes". Daemons do not see with eyes, they see with their psychic sense. (That's why they cannot see Untouchables.)
For some reason, the melee inflicts more damage to demons that the ranged weapons (almost in fluff) Thats the reason that the Grey Paladins used a lot of melee weapons; even when they can shoot psy bolts with some of their weapons.