This, pretty much. His heart didn't disappear, you destroyed it in Morrowind.
Actually, that's not the case if you read up about exactly what you're doing in Morrowind. Sunder and Keening in and of themselves do not have the power to destroy the Heart of Lorkhan. What you see, and what you do, all revolved around the enchantments that Kagrenac placed on the Heart during the War of the First Council; a key part of his tools. Sunder makes the enchantments "vibrate" and Keening shapes them, channeling the power of the Heart to an intended purpose. It is, in fact, these enchantments that keep the Heart in this time, and place; in a kind of stasis.
So when you go up there, and purposefully make the enchantments "vibrate" with Sunder, and then rip them, disharmoniously, into shreds by wailing on it repeatedly with Keening, you actually destroy those enchantments holding it there, and furthermore destroy the anchor that both the Tribunal (whenever they visited to "recharge") and Dagoth Ur (who connected himself to those enchantments via some arcane ritual done in secret) used to link to the Heart itself.
The Heart, no longer held in that place and that time, seemingly decides to vanish, or otherwise goes beyond the perception of mortals. But it was not destroyed. If anything, you could say that it is now
free to rejoin his other bits.
There is a good reason that Talos gave his blessing to the Nerevarine at Ghostgate. The Elder Scrolls, as a series, seems to have a meta-story about the gradual return of Lorkhan and the destruction of the barriers that have prevented him from being whole once more. Bit-by-bit, Lorkhan is returning.