Rules said: "If the player loses the battle, his commander must retreat along with his retreating units (as if the hero were a unit)."

But if the units can't retreat they are eliminated. So if the hero must retreat as a unit with his retreating units but there are no place to do it he is eliminated too ??

Yes, if he can't retreat (because there is nowhere to go, or because he is already routed), he is destroyed. Be careful with the commanders