This article or section includes speculation, observations or opinions possibly supported by lore or by Blizzard officials. It should not be taken as representing official lore.
In the Undead Campaign known as the Path of the Damned during the mission Digging up the Dead near Uther there are five riderless horses in a pen. One of these horses may have been Steadfast.
As they were killable and since the mission of scourges is to cleanse the world of the living it is possible that when Uther was killed by Arthas Menethil, that Steadfast soon followed his noble master into death.