Ok...big nerdgasm incoming...
Some of this comes from what other people have theorized on other sites and this is how I am piecing it all together.
Color me retarded, but...
It is now VERY obvious the Duffer Brothers are huge D&D nerds. Not sure if they play or not, but it is very clear that the game and it's lore had a heavy influence on the show. Every single monster's name has come directly from a creature in D&D; demigorgon, Mind Flayer, Vecna...
Vecna is the one that they really spent time on, though.
In D&D lore, Vecna was one of the big bad bosses in one branch of the lore. He was a lich. For those of you who do not know, a lich is a uber-powerful wizard who attempts immortality by intentionally making themselves undead. A lich is NOT something you wanna fuck around with. Now, one of Vecna's MO's was to fuck with people's minds, including other deities, by going in and harvesting their deepest, darkest secrets.
In the lore, Vecna was betrayed by his lieutenant and banish from Grayhawk, a "normal" world, to Ravenloft, the "spooky" world. If there was any D&D realm that the UD reminded you of, it would be Ravenloft. Given how much Henry/001 tried to recruit her to join him, and then she "betrayed" him by battling him and banishing him to the UD, the parallels are pretty obvious. D&D Vecna was also considered a "deal-maker", and while in Ravenloft, made various deals in an attempt to get back to Grayhawk. Sounds a lot like what 001/Henry did in the UD when he encountered the Mind Flayer. The Mind Flayer seems to be the "fuel" that feeds Vecna's power.
Now, when you destroy the physical body/form of a lich, their spirit/soul/essence/whatevs still lives on, BUT it must go back to a magic container called a phalactory. There the lich's spirit is "safe" while it restores its physical form. As long as nothing happens to the phalactory, the lich is fine.
This is what happens to Vecna...this is why, as his physical form is being destroyed, he give the arrogant speech about El and her gang "thinking they have won"...blah blah blah. Because he knows that destroying his body does not necessarily destroy him. So...what is the equivalent of his phalactory in the show? A phalactory can be anything that can be closed...and amulet, a bottle, a lamp, etc. What item has consistently been associated with Vecna from the begining...the clock. The big grandfather clock with the door. It is always there...it is practically the symbol for Vecna. It wouldn't be a stretch for that clock, wherever it is, to be his phalactory. Find and destroy the clock and you find and destroy Vecna once and for all.
Now...let's talk about Max. She died. Vecna got her. That is why everything went to shit in Hawkins. That's why the hell-gates all opened. He need to spirits/souls of the 4 kids. Max was the fourth. However, El went in and jump-started her body, leaving her in a coma. But she's not there....she is still with Vecna as his spiritual prisoner like all the others. This is why when El went to the hospital and tried to go to the black-place and find her, she couldn't. She's not there. She's with Vecna.
However, IF they can find the phalactory and destroy it, that frees the other 3 souls, whose bodies are 100% dead and gone, to move on to the great beyond...but Max gets to go back to her body and wake up.
Also, by killing Vecna, you would most likely render the hell-gates inert and have the rift between Hawkins and the UD closed forever.
TL;DR - Season 5 will focus on finding Vecna's phalactory and destroying it, thus reviving Max and closing the UD gates in Hawkins forever.
