Doh. How could I have possibly forgotten the Laughing God if the Harlequins! Arggh!
Yes, the Laughing God survives. It was actually a wonderful vignette in the original fluff when a troupe of Harlequines performed The Dance that tells the tale of the Fall. Rarely performed because only a Solitaire can play the role of Slaanesh without going mad. In it, the Laughing God is the only dancer to escape from Slaanesh. His mocking dismissal of pleasure and power made him the only god that Slaanesh could not consume.