My theory, even if Blizzard failed to explain it in game is:
How the Forsaken or Death Knights of the world will be kept "undead", if you destroy the LK and his armour completly? I know he raises them, and not always keep the control - but there must be a power which keeps them undead and not dead.
Also, here's a cookie for the trolls and haters:
*click it for more cookies*