Doesn't damage occuring in the damage phase occur simultaneously?
All combat damage is dealt simultaneously. But the damage from Perilous Myr's trigger isn't combat damage, it is an unrelated triggered ability. All combat damage was dealt, which resulted in the Myr dying and your opponent being at 0 health. This also resulted in the Myr's ability triggering, but that trigger never even makes it to the stack, because state-based actions are checked before triggered abilities are added to the stack. When they are checked, your opponent loses for having 0 health.