The fight between the Undead King and the Reaper was intense that the duration of them being sealed in the pocket dimension is not enough for the former to finish off the latter. The Realm of Dread Mist is once again sealed back into the God of Death's Sword of Devotion.
The moment that the pocket dimension disappeared and the two powerful beings returned to the mortal plane, they were welcomed by a stream of powerful holy energy that damaged them. The Undead King is not damaged to the extent that the Reaper is damaged due to the reduction buff to holy damage that the God of Death Abaddon gave him.
The Reaper emitted a loud screech due to the burning sensation that it felt. This type of pain is not something that it has felt even when it was alive. If the pain it felt from the Undead King's attack is a prickling sensation that with some time it no longer affects it, the pain it felt from holy damage is something like a person being lit alive.