So in the Thalmor Embassy, I just left via the cave once I got the dossiers without staying or knowing anything about Malborn's fate.
I go to WIDeadBodyCleanupCell to find him here, just staring at me beside the pile of bodies like "Hey, what's up?".
Apparently the game just auto-resolved that he died since I didn't stay around to see, and booted him to the cleanup cell without him actually getting it. So, essentially, he survived his own death and in all of my other playthroughs he was just condemned to stand there or wander a bit doing nothing while guarding a few empty coffins and a pile of bodies forever.