Into the Badlands' series finale dealt with Waldo's disappearance in a satisfying way. Waldo, played by Stephen Lang, disappeared at the end of Into the Badlands season 2 and never returned. His absence was addressed only by a throwaway line in the beginning of season 3. That is, until the series finale.
Lang's Waldo was a key recurring character in seasons 1 and 2. The retired, wheelchair-bound assassin is responsible for training Sunny (Daniel Wu) to be one of the most dangerous Clippers in the Badlands. Waldo found Sunny as a child and raised him to be a fearsome warrior. Waldo served as Baron Quinn's Regent until Sunny became experienced enough to take his place. After Quinn's fall at the end of season 1, Waldo switched sides and fled to the Butterfly Territory to become the Widow's Regent. Waldo hasn't returned to Into the Badlands since the season 2 finale, though a younger version of the character did appear in the form of a flashback in the season 3 episode, "Blind Cannibal Assassins".
Waldo was written out of Into the Badlands in the season 3 premiere when M.K. (Aramis Knight) revealed that Waldo, along with several others, abandoned the Widow. Waldo, despite his role as Sunny's mentor, seemed to become a forgotten character until the opening scene of Into the Badlands' series finale, "Seven Strike as One". The episode begins with the Widow (Emily Beecham) presenting Waldo's sword as a gift to Sunny. The Widow tells Sunny it was the only thing he left behind, and says she believes that "wherever he is now," he would want Sunny to have it. Sunny and the Widow agree that if Waldo was still around, he'd have joined them in their fight against Pilgrim (Babou Ceesay). In Into the Badlands' final battle, Sunny uses Waldo's sword to kill Pilgrim.
The only clue to Waldo's whereabouts was in a deleted scene in the home release for Into the Badlands season 2, where Waldo is made the new baron of the Armadillo Territory. However, since this was a deleted scene, it may not be considered canon. When Waldo was last seen, he was at a point where he was rethinking his loyalty to the Widow, but the Widow convinced him to stay by promising to make him a baron. It's possible that Waldo changed his mind again and decided to leave anyway. No matter what his reason was, it makes sense that Waldo isn't in season 3, considering that Lang was most likely busy filming Avatar 2 and Avatar 3.
The scene with Sunny and the Widow in the finale doesn't explain where Waldo went or why, but it does provide some resolution for his character. It amounts to a nice moment where Sunny and the Widow bond over their mutual affection for Waldo. He acted as a mentor to Sunny in Into the Badlands season 1, and an adviser to the Widow in season 2. Sunny and Widow have been at each other's throats for most of the series, and one of the only things they have in common is that they both cared about Waldo.