http://www.imperial-library.info/content/guide-better-thieving indicates that the crown was stolen by someone alive during the Oblivion crisis. Obviously it's not likely that this Wulfmare had anything to do with it, considering the veracity of his other tale, but I don't think that he'd just make the entire story up. It seems that the crown disappearing is a somewhat known event (at least among thieves) that he's just taking credit for. If the crown was never stolen, it would be quite easy to dispute the book fully.
Thanks for the link, haven't seen this book before
Anyway that means that we know absolutely nothing about Barenziah and Helseth, except for that Barenziah should be nearing 700 years right now (if she's still alive) and that's old even for a Dunmer... She was even feeling old back during Tribunal, so I would think she's dead by now.
Helseth could be in any kind of situation, however I'd think he'd be dead by now. During Morrowind Helseth tried to move Morrowind more and more into the Empire, that move has obviously failed with the Empire falling apart and the Argonian invasion. I'd imagine he'd be a ripe target for a great many people, Argonian and Dunmer alike. It also doesn't seem like the Empire is capable of offering a great amount of support to the Dunmer. So his greatest allies are likely useless. Of course I'm not sure that this means Helseth is dead, it just doesn't seem that unlikely to me.
Morgiah is either captured or dead, the only place she could have run after the Thalmor uprising is the Empire and then came the great war where she would have been a target again. She has a few options.
1. Skyrim (Where she isn't)
2. Hammerfell (Unlikely because I believe we would have heard something about it)
3. High Rock (still part of the Empire so unlikely)
4. Morrowind (But that would only be logical if Helseth was alive, and even then a stretch because I don't think Helseth would appreciate his sister showing up)
I think it's most likely that they are all dead...