One is, what will the effect of their short term failure be in the outside world? Will Cressida simply urge them to return as soon as possible and try again? Will Thousand Bones and the Shoanti become angry at the delay, and should this have any effect on Korvosa/the PCs?
No considerable effect on Korvosa/outside world from the failure for the moment. Rolths operation was in the city for some years and apparently, considering Cressidas words that he became just a classical "pain in the back", it was not that world shattering. Just another annoying high, but not top priority, target that does stuff, however does not rock the boat (for now).
Cressida will want from survivors’ location of "Vreegs" den, and then muster a force of guards as quick as she can to send there. Probably would inform Thousand Bones, because shoanty would be ready to get there faster and clear the place for the guard (let’s be honest, as much as she understands TB situation, she cares more about her people more and would not put them at risk unless ordered to).
The second is, if/when the PCs return, what will the Dead Warrens be like for a second visit? Vreeg was the only derro to survive - if he decides to stay, it would make sense for him to fortify or make some sort of preparations for another assault. It would certainly be interesting to make the PCs fight against the reanimated corpses of their fallen comrades.
Well, the thing is that Vreeg doesn't call the shots. Remember that PCs just got lucky that by plot, Rolth was away, shopping in the city when they barged in. When he gets back, and finds that one of his dens was compromised (no matter if some or all of the intruders got axed - they could have informed someone where they went) he gets his thing and relocates. In addition, he would surely animate the bodies of dead PC and take them with him (to haul his stuff and interrogate them via Speak with Dead).