We do know, because we have seen it happen hundreds of times before. Being "Immortal" does not mean you are immune to death, only that death won't come naturally. The Lich King was immortal and we killed his ass.
At most, Malygos is traveling the astral pathways as a spirit. Does this mean someday he could weasel his way back? Yes, considering Azuragos did it once. Does it mean he will be an Aspect still? Nope. Because those powers left him when he died, thus how Kalec was able to claim them.