Vayon Poole is presumed dead, though no one has said anything about his fate. The Shrouded Lord is a big unexplained mystery on the same level as the Night King.
Oberyn's Sellsword Company was The Brave Companions: http://asoiaf.westeros.org/index.php/topic/109565-oberyns-sellsword-company-was-the-brave-companions/