Well the guards finally got sick of Heimskr ranting all hours of the day and sent him to Sovngarde if you catch my meaning.
Then ultimately they annoy tsun so tsun kills them again.

-Nazeem follows him

Made an optional mod that puts heimskr in thalmor prison for a more lore friendly experience
Another optional that can be used with the main but might not make sense for thalmor prison, puts heimskr in arvels shoes
And last but not least, off the carriage ride to helgen heimskr gets his head chopped off.
You can use them together, but its recommended to either disable whiterundeadheimskr or start a new game.