<MAJOR SPOILERS>
Didn't Arthas kill his father with Frostmourne? it was like the first thing he did with it. That means that his father's soul IE the guy he talks to in the expansion, is in some way under the control of either Frostmourne or Ner'zhul!
This would mean that Ner'zhul still has control and faking the king's speech in order to remain alive. Maybe they are only "The lich king While Arthas is bound/wearing the crown, and that way Ner'zhul can bond with a new host IE Bolvar (also everlasting fire lich king is so much cooler than ice lich king. It's like watching a Gillet commercial).
Or I could be full of it, you decide.
OR The sword shattered and his soul escaped...