To note, as we have seen Forsaken souls in Bastion, we don’t know that death would undo the changes to a soul affected by undeath, so there might not be any way to return Blightcaller to Marris, unlike Ranger General Sylvanas having access to methods to purge Banshee Sylvanas from herself.
However, some of the effects of undeath upon a soul are from the magic tethering a soul to the mortal plane, which dead undead would no longer be being bound to. The undead soldiers of Maldraxxus for example do not exhibit the same changes of their personalities from what they had in life. So Forsaken and other undead that are killed might actually find some relief once they arrive to the Shadowlands.
Given they not end up in the Maw, though.