Troops can get knocked down but not actually killed, you'll see it with elephants/chariots alot, but only sometimes with horses. And I think, but i'm not sure that captains are given a boost to their stats(at least 2 hp like other generals). As for him taking out your last seven cav the unit might have got the phalanx bonus and combined with your men being tired/severely depleted they just won out. I've found most generals are pretty easy to kill, even enemy kings due to their hp only being 2 now. I've wiped out 3 or 4 family members including an enemy king during one battle, mainly using footsoldiers/archers and my own general unit.