Well, Superman is basically invincible, except around kryptonite, and there are plenty of Superman stories without kryptonite. Yet people can still create problems for him. For example my parents are describing an episode where all of his friends were being attacked at once in different places, and he couldn't be at all of them at once. Of course, superheroes generally win in the end anyway.
Or take Jesus as an example. He was perfect, and always made the right decisions, and had miraculous powers. Yet there are plenty of interesting stories about him, too. But Jesus never fights super villains, so maybe that's not the best example.
I guess the main problem with his hero, though, is that there are just too many ideas in one place. Maybe he should have a team of superheroes, each one having a different power? Each one may not be as powerful, but together they are invincible.
Perhaps another thing to think about, is that to make a really involving story, it should be that the super villain almost wins, and it looks like he might win, but in the end the hero (or heroes) pull through and defeat him. If it's obvious that there's no way the villain can win, why is he even fighting?
Sorry if that's too much in one post.