The PCs opened the coin door that leads to the part of Thistletop where Malfeshnikor is... and then they turned around and left the dungeon, going all the way back to town. Does that mean Malfeshnikor is free to leave the dungeon? Does he get out and terrorize the countryside or just stay in his little room?
He is bound magically, not by the doors. If left to his own devices he'd probably try to reach out to any surviving goblins.
In our first run, the group missed a large section of the lower level of Thistletop, including...
I was planning on having a couple of druids eventually move into Thistletop once it was cleared out, so I had them approach the PC's about returning (through Shalelu) and helping them remove 'the evil they still sensed within'. I threw in a couple of harpies from the Cormorants inhabiting the upper level and it turned Thistletop into a second great dungeon with a very different feel from the first incursion.