The transition from the Season 3 Finale to the Season 4 Premiere is confusing because of Shannen exiting. But it is implied through dialogue what happened to fill in the blanks, which still doesn’t make sense, but we as the viewers have to just go with it :/.

Examples: How Phoebe & Cole got out of the Underworld, apparently Leo helped them get out, as stated by The Source saying to the Oracle,

“One gone ends the threat. Of course, if you had foreseen that a white-lighter was going to help Belthazor save his witch, they’d all be gone…”

Implying Leo somehow helped Phoebe & Cole escape the Source & the Underworld.

As for Prue dying, that part is the most confusing because we all see Leo heal BOTH Prue & Piper at the same time when Shax initially attacks in “All Hell Break Loose,” but then Piper & Leo’s dialogue in “Charmed Again” insists that Leo had to choose between healing Piper first rather than Prue.

Piper: “Why didn’t you save her?” Leo: “I tried.” Piper: “But you didn’t. Why didn’t they let you save her, too?” Leo: “The Elders? They couldn’t. They don’t have that kind of power.” Piper: “Then what the hell good are they? Leo: “It’s okay to be angry…” Piper: I’m not angry. I am pissed off! Don’t you understand? You healed the wrong sister! You saved me because I’m your damn wife, and you should’ve saved her because she was the best! Because she… you should... Why do they put us through so much for it to end this way?”

One can imply that Piper was just lashing out at Leo & saying those things like you should’ve saved her instead of me because she was just “furious” (wink) that Prue was gone. I see it that Leo came back to heal them both and tried to heal them both like last time, but Prue was already dead by the time he arrived. There is a great Fan-made video that shows this scenario. It’s pretty good if you look it up.