If you didn’t see this, it’s a new Shadowlands thing that reveals that the Nathrezim were created by a Sire strongly implied to be Sire Denathrius to infiltrate and/or manipulate all the other cosmic forces.
Which basically means they are not, by default, Demons. The Dreadlords that did consume the Fel became Demons, but by origin Dreadlords are beings of Death.
The problem is that this has huge implications over the mechanics of death for magic creatures.
Argus the Unmaker was called the Death Titan, will he have any influence on the Shadowlands and do Demons go to the Shadowlands or are they on a different cosmic level?
Demons are born of the Twisting Nether; normally, a demon killed on Azeroth or otherwise outside of its home realm will go back to the Twisting Nether, eventually coalesce, and come back. Sargeras tried to shortcut that process by using Argus as a resurrection engine to speed up that process. That same principle applies to other creatures of various realms (Shadow, Light, Fire, etc). The Shadowlands is specifically for mortal beings to go through the process of Death.
So the Burning Legion still goes back to the Twisting Nether, unless they’re killed there, at which point they experience kind of a “true death”. Even then however, the energy that makes up those creatures remains. For example, if a Steward named Joe running around Bastion is crushed to death, Joe is gone, because he died within his home realm, but that energy remains - eventually a new Steward, Jane, will pop up to take Joe’s place.
Sauce:
Beings of Death go to the Shadowlands when they off-realm. If they die in the Shadowlands, they die for real.
Demons go to the Nether if they die off-realm. If they die in the Nether, they die for real.
Now what about Demon Dreadlords?
So far, when Dreadlords were killed they returned to the Twisting Nether. But what if they die in the Nether? Do they cease to exist like regular Demons?
Or do they fall back to their original Realm and go to the Shadowlands?
If that’s possible, Dreadlords might be a tad… unkillable. If you kill them in the Nether, they go to the Shadowlands, and if you kill them in the Shadowlands, they go to the Nether.
An endless game of ghost ping-pong!