Crossing into the Shadowlands is quite literally as easy as crossing the street now. Khadgar literally shows up at the end after everything is done just to explore the place for himself. Some Kyrians stay on Azeroth to be Spirit Healers, some Maldraxxi invade other realms as part of missions, the Venthyr don't leave but their Nathrezim cousins do. And the Night Fae talk about visiting Azeroth now that the way between worlds is open.