Or did he die during the events of Daggerfall?

Even more confusingly, would the answer depend on who the Underking really is? Wulfharth or Arctus?

Both became part of the Talos Oversoul, so regardless of who the Underking was, he's gone now.

One of the possible endings was giving the Underking the Mantella, which allowed his spirit to rest in peace. Since the Warp in the West happened and merged possible timelines into one, I assume that happened.