Ending the first episode with Santiago's death would give President Clark's tyrannical rule more time to develop and give the show's beginning a big kickoff that would have the audience glued to the screen, waiting for the next following episode. And, for those worrying about such a thing ruining the introduction phase of the story which the first season covers, you could have something shocking like that happen in the beginning of a series while the first season sets up the characters and their world. Like how Lost began with the plane crash and how Six Feet Under began with the death of the father.
The problem is that the assassination of President Santiago isn't the jumping off point into the series -- it's Babylon 5, and the Babylon Project, going online that leads us in to the story.
In
Lost, the plane crash initiates the story. In
Six Feet Under, Nathanial Fisher, Sr.'s death initiates the story allowing for his eldest son to take over the business. More importantly, these weren't "shocking" or "big kicks," but beginnings that start off at the highest point of conflict. The Oceanic 815 survivors are now lost with little chance of rescue. Nathanial Fisher must take over his father's business despite having spent years running away from his family and his obligations to them.
Battlestar Galactica (new and old). The destruction of the colonies, as shocking as they may be, was the "in" to the story and the highest point of conflict.
Does
Babylon 5 start at the highest point of conflict? Yes, but not with the assassination of President Santiago.
The highest point of conflict is the arrival of the last ambassador to the station. Why? Because Kosh's arrival signals that the Babylon Project may actually have a chance at fulfilling its promise of "a galaxy without war, where different species can work side-by-side peacefully." There are those who don't want to see it succeed. The stakes -- all out interstellar war.
That's the "in" to the story. Not the [Santiago] assassination, which is a complication to the story not a beginning to the story.
JMS used a more traditional novelistic approach to the storytelling of
Babylon 5, where the story had a slow burn to the event that changed the lives of the characters forever.
As
Reverend pointed out without seeing Santiago's support or influence on the Babylon Project, then his death is rendered without context. He's just a president assassinated. But at the end of the season, he is much more than that -- he was the last, best hope. And his death now has meaning to us the audience.