Well, technically weren't they already dead? I take it as the "Limbo" was their presence as Nazgul on Middle-earth, and I believe when Sauron "died", they died too. Or in other words, their spirits were released...I'm not sure where I stand though on whether the spirits vanished, went to Mandos, or lingered pathlessly, unlike their limbo on Middle-earth.
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"Loud and clear it sounds in the valleys of the hills...and then let all the foes of Gondor flee!" -Boromir, The Fellowship of the Ring
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