The Overlord is your trainer, and the guy you have to protect. If he is captured and brought out of the dungeon, you will lose.
He's an extremly important person in the Underworld. In all 3 Badman games, you need to hide him from the horrid heroes that try to capture him.
No Heroes Allowed!
After beating Area 1 and Area 2, a false ending plays. Badman ends up on the brink of death, and you and Badmella need to revive him. After beating Area 3, he comes back to life.