Well Since the natural order of the multiverse is the inter dimensional comet going through dimensions we can assume they went to another existence to start another huge inter galactic schism.
I think that making the lions the sacrifice would have worked better showing even without the lions the universe can live on and if the show cut out some un important stuff earlier on it would leave time to flesh out the paladins dealing with being the leaders of the universal police people sorta without the lions of Voltron.