3 appear. Right before the screen lightens up at 1.36 in this link, you see a third demon with 6 eyes (kinda looks like a spiders eyes). I don't know why they only show 3 though, maybe because the thrones are too far away in the opposite side? And btw, baal did die, we killed him, and though we did not destroy his soulstone, it should have been destroyed when Tyrael destroyed the worldstone (baal inserted his soulstone shard into the worldstone to corrupt it, the soulstones are made from the worldstone).
Technically, wouldn't Baal still be alive in the "Abyss" or even in Hell? From what I've gathered, killing the Prime Evils only destroyed them in Sanctuary but they remained alive elsewhere. Just like when you defeat Ragnaros in the original WoW. He is sent back to his own realm when destroyed.
The Abyss is still something we have no clue about. During the last Blizzcon Blizz had no solid clue about it either. Just ideas. Currently, when you destroy a Prime and vanish his soul he is sent to the Abyss... but this might just be the true Hell. Where all souls go, mortal or otherwise.