I don't see anything in the Rakshasa's PFSRD entry that they do anything special when they die, but we need to take all of their special features into account:
Quote:
Rakshasa Subtype
Change Shape (Su) All rakshasas have the ability to change shape into any humanoid, as if using alter self.
So their appearance as human functions as the Alter Self spell. Ok, we know that in Pathfinder, death doesn't often end spell effects, especially those with a duration on them like Alter Self. Because the spell has been cast, and it's only target is the physical form of the person it's cast on, not their inherent state of life.
So assuming you're treating their inherent supernatural ability exactly as the spell, it would mean that the Alter Self will persist for at least a few (up to 14) minutes after Bahor dies.
As to the question what happens when they die? It doesn't quite seem like anything happens. The PFSRD entry says that their fates are "inexorably ted to the mortal world", and they are born on the mortal plane and die there. Nothing about them returning to the Hells upon death.
Now we get to Bahor's actual plan: He's been keeping Neolandus in his basement because as the adventure background says "only the seneschal can legally depose a corrupt monarch", meaning that Neolandus is an important pawn in Bahor's overall plan to have Illeosa removed from the throne and seize power himself. So when he sends the PCs into the Labyrinth, his intentions are that his sister kills them quickly so that nothing upsets his plan. He doesn't expect them to survive, and that's very important.
The point of a villain is that there is always a flaw in their plan, and the climax of the story comes when the players feel almost beaten, but exploit that flaw to overcome the odds and come out victorious. Bahor's flaw is that he thinks he's more powerful and has all the eventualities figured out. He fully expects the players to die, otherwise he wouldn't send then into the Labyrinth at all. Or, he would send them in, but Neolandus wouldn't be there and he wouldn't send Vimanda in after them (though, he might if he intended for them to kill her).
If you can come up with a place that you think Bahor hasn't thought things through, then add defenses to that place. Cover up holes in his plan. He IS very smart, so if you find his actions not so smart, change them. Just remember to leave that little tiny crack for players to exploit.
