Yuan Shao is the main general of the army and if you don't protect him he will run away and you will lose the battle.

Where is Yuan Shao

He is with you from beginning of the battle but if you lost him open Menu (ESC) and hover over general Yuan Shao to see his location in the map.

Final Battle

If you can't win the last fight without Yuan Shao dying before the gate, go back to red areas in the map and destroy enemy armies in there first.