Every demon hunter, under initiation, has eaten the heart of the demon, and so that demon's soul is tied to their own. This is the "evil" they are constantly fighting with, to the point that demon hunters either commit suicide or are overtaken by their "inner demon". This is, though speculation admittedly, why they are immortal so to speak.
Gul'dan has never been infused with a demon soul one way or another. Illidan, on the other hand, though he has never done such a thing as his disciples have, has absorbed so much fel energy and power that he literally became a demon himself. AU Gul'dan is basically the same as MU Gul'dan, except more powerful. That is why MU Gul'dan is still dead.
OT: people seem to miss the part in the Warcraft Chronicles where it additively states that demon are permanently dead not just in the Twisting Nether, but also in areas that have a very high concentration of Fel energy. One could possibly say that Hellfire Citadel was one such place, especially the Black Gate where Archimonde died a short distance away; a portal that was connected to Argus, a planet which is saturated in Fel. The same could be said for Kil'Jaeden as well in relation to the Tomb of Sargeras.
It could be a possible explanation that when a demon dies in a place heavily concentrated with Fel energy, or in the Twisting Nether, that the energies absorbs the demon's life force and are permanently gone. That is why they are able to reform when they die outside of their realm. Again, this is pure speculation on my part (obviously, since I'm not behind Blizzard's creative team) but it does shed some sort of reasonable light on the subject.
Not to mention not every Demon Hunter has "an immortal demon soul." Just the player.
No one's mentioned Mal'Ganis, who's still out there as well.
OT: The Legion will lose a huge battle, but there's no way we're ending them completely. As someone else said, it'd be incredibly foolish to remove the BL threat entirely.
God knows what he's doing. I wouldn't be surprised if he becomes a part of the Death Knight campaign, considering his entire shtick was having ties with the Lich King/instigating the Scourge invasion to pave way for the Legion's arrival. Similar to how Balnazzar's shtick was fucking around with the Paladins.
Even if the "official" Legion is destroyed it undoubtedly has willing / swayed / oppressed partners across the cosmos that would remain not destroyed. Good examples rest right before our eyes with the undead. While they are no longer Legion they are still a direct byproduct of the Legions meddling and still could be a viable threat with the Lich King sitting up on his throne. They also prove that they can live on without their Legion masters powering them (while a guess I doubt when the Legion dies all Undead toons will be deleted -- just sayin). I could only imagine that their are a great many of these types of early world invasion sub-races that are scattered about and many of them that remained loyal to their masters.