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".
Of course, if the Pony of Shadows is not Nightmare Moon, then that means that all the evil in both Sunset and Luna was destroyed without being able to manifest into a form of its own, since both were defeated by the Elements of Harmony, while Midnight Sparkle was a different matter.
Go, Sunset!
Sigh.... two interpretation stories that probably wouldn't fit. The Rainbow Dash one because she wasn't using her magic, and lives a little closer than I thought, and this one because Demon Sunset likely didn't become a separate entity like Midnight Sparkle did.
Next thing you know they'll reveal they can't use Rainbow Power again so I'll have to come up with something else for Chrysalis unless she dies or reforms in Season 7
Edit: I hate being right. They never think of using it on the Storm King in the movie which is why they have to go to all the trouble to find the sea ponies.
Well, now we know the Pony of Shadows had absolutely nothing to do with Nightmare Moon, so officially, Demon Sunset was never separated from Sunset like Midnight was from Sci-Twi, just Sunset corrupted by her magnified evil which was blasted out of her much like with Luna.