Just bought a PS3 after having a 360 for about 5 years. Always thought these Uncharted games were overhyped, but after playing it I no longer think that. Great game overall, but the plot is probably the weakest element. My question is this- Nathan learns from Schaffer that Lazaravich needs the golden dagger to get the stone, which Nathan has in his possession. So why not just destroy it? Or, if its 'indestructible', throw it off the mountain? From that point in the game Nathan has resolved to finding the stone simply to stop Lazaravich getting it (even saying once he has found it he'll destroy it). So why go after Lazaravich with the only thing that will help him? And then figure out all the puzzles Lazaravich couldn't helping him even more (even when he's not at gunpoint)?
Indeed it would. But perhaps writers of such caliber didn't have to write themselves into this corner? Maybe the dagger could've been in Lazaravich's possession for the whole time when he first steals it? Or there are two daggers? (which would also explain Nathan solving all the puzzles, he thinks maybe Lazzy might do it sooner or later)
I think it has to do with Nate's own personal obsession with finding these places. Yes, his goal is to stop Zoran, but Nate is still an explorer. I don't think he could pass up the chance to find the legendary Shambhala.
Also, even if Zoran couldn't technically get to Shambhala, Nate knew it wouldn't stop him. He'd burn down villages and murder countless people in a vein attempt to get there. Also, Zoran could've just bombed the wall or something to get past the "Dagger Door". In the back of Nate's mind, he would know that the "Power of Shambhala" is still out there and that, in even the chances are small, Zoran could still find it.
And, like others said, it would be a short game. That very reason is why villains don't kill the Hero in stories, even despite having several opportunities to do so.
"At times we must purge things from this world because they should not exist. Even if it means losing someone that you love" ~ Deadly Premonition