Should Nihlathak be gone after I find Anya? I trigger the Prison of Ice quest and Nihlathak is missing at the start of the quest.
Right now, I can’t Gamble in Act 5.
I might be wrong but I think he goes away as soon as you start Q3. You can always go back to any other act to gamble.
Yup, it is a bug.
I just complete Q3 and talking to Anya for her reward. Then the game crashed and my character has roll back to the beginning of Q3.
Now Nihlathak is back and I need to save Anya again 
My memory was correct. I do remember Nihlathak having lines for Q3.
https://imgur.com/vMCGaWr
edit: I still have loot even the quest is roll back