I thought they went to the void and started spawning demons from their corpse… though maybe that only happens when they are tortured…
Well considering that infusing Argus with Death Energy sent him to the Shadowlands rather then wherever else he was supposed to go guess like some light realm 
I could be 100% off base here, but I assumed that “mortal” things go to the Shadowlands when they die. Mortal beings have souls, the transfer of souls generates anima, etc. Other entities, like Naaru, demons, etc. aren’t mortal in the same sense and don’t have “souls” in the same way, so what happens upon their “death” is an entirely different matter.
That’s my head canon anyway.
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