Yes, you have but you are very close. The difference is very minor. When you close a location (via a henchman for instance), in the physical game (and this one I suspect but it hasn't happened to me yet) you banish all cards except the villain who goes back into the location deck face down and the location is not closed. The villain is the only card in the location deck so now you know where the villain is and can play a card (like a Blessing of the Gods) to immediately explore again and encounter him or wait until you are ready and use your free explore in a later turn.
Strategy-wise it is good to leave the villain where he is and get prepared for the battle. Get other locations closed or have a character at each open one so they can temporarily close it when you finally encounter the villain.
So actually, come to think of it, the way you have been playing it is tougher. You may be encountering the villain when you aren't really ready for him.