Sounds like you guys had a great time and everything was working as intended. The results you got were what is supposed to happen - Beasts have incredible power; they are nigh-godlike and have limitless potential within the spheres of power their Horrors represent. As others have said - show them the consequences of their actions, and have fun with it! You don't need to limit their power, but instead give them challenges equal to their abilities (Which, by the way, does not always mean putting them up against world-ending threats).