They would disappear along with everyone else at the end of fourth wall, yes. If they spend any time in their home universe between fourth wall and being brought into the game properly, they will not remember Keeliai (and can leave items like their helmet behind); however, once they arrive, their fourth wall memories will come flooding back.

Think of it as the Dreaming reverting everything back to normal all at once, then sitting down and doing the paperwork and realising it actually wants a couple of these characters back permanently. :P