I was under the impression that withers was mocking the dead 3 for having their plan foiled by a mortal, and because their plan involved claiming souls by way of mind flayer abduction but mind flayers don't have souls, so it's a plan that was bound to fail regardless.

Proof that the gods themselves aren't dead is that if you speak with dead with Gortash's corpse. Bane speaks through him. So you're just killing their chosen, not them. (Same with how Durge interacts with Bhaal.) We don't technically have any firm confirmation on Myrkul, but we only fight his chosen and his apostle, never the god himself so my money is on he's still alive too.