But Sigmar was just a man, who was made a God by worship from the Empire (right?) but if the Empire, and the whole world he derives his power from don't exist, how exactly does Sigmar?
Because of plot. GW wanted Sigmar in their next product so gave him a free pass to survive the End Times. I suspect they'll pretty much do it for any other characters they want to put into AoS from Warhammer.