There's no one answer for this because it really depends on the specific type, and if it's not mentioned in their entry feel free to make your own consequences. It's rare for anyone to go the "soul is destroyed" route, because generally destroying a soul is considered a very evil act and nobody wants to get thrown into that in a random encounter. Typical possibilities include:
A) The incorporeal undead isn't technically the creature's soul even if it has their shape and (possibly) memories, so destroying it is no different than killing a zombie--their soul has already moved on.
B) Destroying the undead creature releases the being's soul, allowing it to move on to the afterlife.
C) The being is/contains the creature's soul, but defeating them only dissipates the energy--they may or may not be able to come back, but their soul won't move on until something is done to put them to rest.
There's more options and variations of course, but that's the general umbrellas of how these are handled. If you want a little help in deciding what course to take, usually the harsher endings are reserved for those who became the creature because of evil acts in life, and kinder endings are used for those who were turned into those beings against their will (i.e. shadows created by another shadow's Create Spawn ability).