Megan is dead because Death comes straight to her without any warning. Lucifer can't accept the fact that it happens just like that. He was able to cast the four horsemen back to hell. The same goes with Reighly. But she ends up on the lower part of hell where the fire is flowing to torture those who committed murder.
Thanks to Gabrielle and Michael, the other horsemen were unable to step foot in the mortal realm. It's safe for humans to live freely for now. But many people died since Death was able to walk their realm. That includes Megan who is their main target.
Lucifer can't believe that he wasn't able to do anything for Megan. Her mortal body made her vulnerable with that attack. She's gone from the mortal realm so he went back to the underworld to wait for her soul to cross the hig
