When Sunset Shimmer turned into a demon and was purified by the Elements of Harmony, the evil in her was not destroyed. Like Midnight Sparkle, it became an entity of its own and torments her in her nightmares, waiting for an opportunity to control her again.

Because, if the villain of Shadow Play is the Pony of Shadows, that means she's Nightmare Moon separate from Luna, and if Nightmare Moon and Midnight Sparkle became separate entities from the characters they were once one and the same with, why not her? Sunset had the darkest side BEFORE her transformation, so she had the most evil to exorcise. There was no sign of her after Sunset was purified so unless further evidence comes up I'll say she ended up like Midnight Sparkle.

Sunset vector in the cover is by luckreza8, who said "you can use it if you credit me".