In regards to the death of all these creatures and characters who use the void, we know for example, that the Twilight Dragons (or some of them) still here Sinestra's whispering. And not just whispers she said in the past, but current, active whispering.
We pretty much don't know what happens to creatures and character who have a very strong connection to the Void and used it a lot. Maybe there is a physical place in our universe, where they can reincarnate. Maybe some Old Gods got the mission from the Void Lords to conquer a world in the physical universe which is the major stagging ground or where their servants can be reincarnated. Might be even a place where their servants work to weaken the boundry between the physical universe and the dimension of the Void itself, who knows. The Legion had a Headquarter, the Void and all these other major powers might have one or more. Maybe they can reincarnate in the Void itself as well and still whisper to those who are able to hear them.
I think Blizzard can do a lot here to solve that problem without fucking it up. If Demons go to the Twisting Nether when they die in the physical universe in a place which is not too corrupted by fel magic, then it wouldn't be too far fetched that the souls of Old Gods and other powerful beings of the Void go to that dimension.
In regards to the Cinematic, so the dagger, at least so far, was only good to open the way to N'zoths core yes? To its brain / heart so to speak.