Board Thread:Lore Discussion/@comment-3435346-20140925222723/@comment-24349111-20140926113611

Canonicly, the LDB went to Apocrypha (as it'd make sense for him to be the protagonist of the Dragonborn DLC).

Since a Dragonborn isn't needed for the Dawnguard DLC, I'd say that he didnt necessarily go to the Soul Cairn.