After WC1, what happens to Blair's Pilgrim's Cross,
Blair loses his cross in the Wing Commander movie. The scene (a knife fight with the traitor) is cut from the film, but it appears in the novelization. His having lost the cross still shows up in the movie, as he borrows Paladin's for luck at the very end (the 'not faith, it's genetics' scene). He returns Paladin's after this (though he ends up taking it again at the very end of Pilgrim Truth at Paladin's insistence).
and why is it that the Pilgrims are NEver mentioned again.
This question has a variety of answers.
One is that although the movie was set before Wing Commander I it was actually the *latest* Wing Commander story told. There has been no chance for concepts created for/ret-conned into the movie to appear in later stories (you wouldn't, for example, wonder why the Broadsword didn't appear in Wing Commander I - it *existed* then, but was created in 1991).
The second is that the third, as-of-yet unpublished movie tie-in novel, Pilgrim Truth, effectively eliminates the Pilgrims from the Wing Commander universe post-2654. The 'original' followers of Ivar Chu McDaniel, creator of the church, come back from a distant hiding place to take the vast majority of Pilgrims far, far away from the war between the Confederation and the Kilrathi.
The third answer is that the Pilgrims actually do exist in other stories, in their original concept form. The movie, which was outlined at the same time as Wing Commander IV, originally planned to have the separate race of humans be 'Border Worlders'. This is one of the reasons WCIV has out-of-place scenes like Paulsen talking about Border Worlders being 'racially' inferior... and why the script describes scenes as having things like 'humans, Border Worlders and mixed-race' characters in the background. (Which brings up a good point - the 'Border Worlds' are, even without special abilities, as massive a retcon in WCIV as the Pilgrims were in the movie... try finding th Border Worlds in a story told before 1996
)
... and the fourth answer is now that they *are* mentioned again! Check out the ship description included in this Arena interview:
https://www.wcnews.com/news/update/7698