Sorry to burst your bubble, but there's no "supposed" about it.
He was beheaded, there was even a flashback in a book about it.
But rather than think about how it sucks for a chaos legion to lose their Primarch when another legion can actually field theirs, think of it as a testament to how awesome he was, and how he has influenced his son's to perfect their craft of fear.
In my opinion, other legions may have awesomely powerful Daemon Primarchs that are still alive, but they'll never be as awesome or cool as the Night Haunter. In my opinion, he was as close to a noble hero that the Chaos Legions have, a man of split personality, who chose to die to make his point. He sacrificed his life to vindicate himself from his accused crimes...
And he also taught me what an act of vindication is.
So yeah, my words don't do him justice, and I'm pretty much rambling on over here, butchering grammar and not really giving you a valid point.
So I'll stop now.
Edit: I have been ninja'd...
Fair play Fist!