I think they've always avoided describing The Ritual and what happens in it, but they do seem to soulbind themselves to Cegorach. I'd guess you're right that their souls join with The Laughing God when the die, since they don't have an Infinity circuit to join with. I'd imagine it's a great feeling to become one with your god. The horrible fate belongs to the Solitaires. They purposely forfeit their soul to Slaanesh in order to play the Dark Prince in the Harlequin plays. Their only way to escape being devoured by Slaanesh is the hope that Cegorach will fight for their soul when they die. They really freak out other Eldar.
The concern of it restricting gameplay is gone at least. If there are other Rangers or Pathfinders or Outcasts created later on and this particular character is yet another sidegrade, then I think it's not much of an issue at all. I just know that if my favorite 40k character was completely out of my reach due to joining too late, I'd not be pleased. If a particular version of that character was completely out of my reach, I could deal with that.
It's better than Slaanesh claiming your soul so daemons can rape and torture it endlessly until some possible point where they simply rip it to shreds. There's a reason why ever Dark Eldar dies with a scream on their face.
