Max's Kate Bush song did not win the day, and she was killed by Vecna as the final sacrifice he intended to use to open a massive rift to The Upside Down. She was able to stave him off for a long time with the use of her favorite song, "Running Up That Hill", but is eventually forced to abandon that tactic. Whether it's her soul, life essence, mind, consciousness, it is likely under the thumb of Vecna, also known as Henry Creel. Vecna explained why Max is not there to greet Eleven inside her own mind when she died.
Max needs to offer herself up as bait in order for the group to take out Vecna.
Max spent most of her time in a depressed and brooding state in season 4 after watching her brother Billy die in season 3. Vecna's plan to open the portal to The Upside Down was disrupted when Eleven brought Max back to life. El will need to enter the most twisted mind of all time and explore it until she is able to locate Max and bring her back across the mental plane to her own body.
Max not being present in her own mind when Eleven enters could be seen as a representation of her being brain dead, but there is another upsetting implication to consider. Max may have left her body when she died if she has a soul. It's unlikely that Vecna/One/Henry is making her stay a pleasant one, as Max could be trapped in a state arguably worse than death. The physics of that are hard to comprehend, but it's clear that anything can happen in the town of Hawkins, Indiana. There is still a question of her physical state if Eleven succeeds in bringing Max back to her.
Max won viewers over with her sharp wit, tough and resilient nature, and willingness to put her life on the line for her friends. Max's blindness will likely require a remedy of the supernatural sort, provided there is a remedy at all. Whatever time she has spent in Vecna's clutches may have rendered her a bit mad, so it may take more than convincing to get through to Max. It is likely that Max would have been killed without Billy's intervention. Max blamed herself for Billy's death, believing that she could have done something to help him. Following her introduction in the second season of Stranger Things, Max became a fan favorite.
He told El that one does not just kill people, he consumes them. Even though things seem grim, there is still hope that season 5 will rescue Max and at least partially restore her to her pre-Vecna condition. There is a chance that Max's true situation may be worse than death. The concept of religion or the afterlife is not something that is broached in the show. She goes blind when Max rises into the sky.