Death has an actual realm, the Shadowlands, an equal but opposite realm to the Life magic-based Emerald Dream. It seems to be a generic afterlife as well, where people end up if not claimed by another realm (like Light worshippers joining the Light, or Druids going to the Emerald Dream).
You name some of those powerful beings, though. Bwonsamdi and Helya both have their own realms carved out of the Shadowlands. The Lich King has connections to it as well, and other entities likely hold sway over parts of it too, like Gorak Tul and Mueh’zala. I also theorize that part of Sylvanas’ grand plan is subverting her own torturous afterlife by carving out her own domain in the Shadowlands, similar to Helya.
If there’s something bigger than them, that runs the whole thing, we don’t know for sure yet. Though, Bwonsamdi mentions having a “boss” of some description. I imagine we’ll find out soon. Bwonsamdi and Bolvar both mention a “balance” Sylvanas threatens to upset, and the Tauren heritage armor questline emphasizes a need for balance in the spirit world. From the Tauren heritage armor questline, as well as other questlines, like Uuna’s, it seems like something is going wrong within the Shadowlands that’ll probably be relevant and need resolving at some point.