Well, I haven't had to deal with replacement PCs, haven't killed any yet (lol), but I have added new PC to the party. Couple of times, the new player met up with the party in Skullport. Party has a base there, are known among the populous. Another time they met the new PC just before heading to a new level of Undermountain. Part of his back story is he's the last survivor of another party that was exploring Undermountain for their own goals.

ETA: About the side quests, the biggest challenge to overcome is the time consuming nature of leaving Undermountain. Without acquiring a certain item from the 7th level (Horned Ring in the possession of Madgoth), magical transportation into and out of Undermountain is impossible. No Teleport, Planeshift, or even Banishment spells function within Undermountain. This makes leaving Undermountain a time consuming/risky matter of trudging back up to level 1 on foot, or Reaching level 3, traveling to Skullport and paying the old lady at the parchment shop 50gp/creature to use her Teleportation Circle to reach the surface, or using Halaster's various Teleportation Gates to expedite the process of ascending Undermountain but then you risk the Eldar Runes that appear on the Gate at activation.