Your henchy probably escapes with you into the Shadow Realm and to go their own way afterwards. I know this isn't shown explicitly in the cutscene, but seeing how it ends the second after your own character enters the door it's still possible that it happens, plus it would be a very safe asumption to make. Although I admit I wouldn't put it past Xanos to be dumb enough to just stand there gawking until he crashes into the ground, which of coure wouldn't be a great loss.
Of course, as far as the game is concerned, they are indeed, as Robert said, toast. Apart from one little guy of course.
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