Given that there's no further mention of them and from what little we know of how they treat the 'Unaligned', I think the impression we are supposed to get is that they were captured, tortured, killed, dissected for study, etc.
The specific scene is probably also written to give a mysterious aura to the new aliens: Casey suggests to Finley that the Kilrathi were killed, but that's when she says that they just 'disappeared'.