[Orofacion of the Vanyar]

I believe a union of this nature, of high elf and maiar, is something more than just a marriage. I believe Thingol and Melian were connected at the spiritual level, not just the physical. This would mean when Thingol was slain, that connection was broken and the power was recoiled. Think of it like this: Thingol and Melian's union was a chain that bound all of Doriath. Once half of this chain was broken, then the rest of chain would fail, and the protection fall with it.