Where?
Remember us helping them, and building reputation with them? that's pretty much like how an allied race is recruited into the ranks of a faction (as of BFA).
Them being dead or part of a realm doesn't really matter. if demons are intrinsically connected to the Twisting Nether, and Elementals to the Elemental Planes and still be part of our reality, then so can they. The Shadowlands would not perish without a few of them leaving. Heck, we are not supposed to be there as living beings. and, there we are, in the Shadowlands expansion.
The only difficulty i can see is Venthyr journying into the light.