It's not clear what happened to Max at the end of Stranger Things, but it's possible that Eleven's positive memories counteracted the negative ones Vecna used to kill Max. The murders are brutal, with Vecna breaking their bones and tearing out their eyes, and the latter appears to have been a deliberate move to tease his return to Dr. Brenner, who would associate the killings with the Creel murders back in 1959. Only by defeating Vecna once and for all can the kids ensure their town is safe in the final season of Stranger Things. Vecna is an appropriate name because it is the truest version of the source material.
Will revealed in the end of the show that Vecna wasn't dead as he could still feel him. It has established a new enemy, Vecna, as the Upside Down's greatest threat, and retconned him into the show's history as well. Vecna's interdimensional psychic attacks were powered by the hive mind and it would be fitting for him to keep himself alive using the same approach. This battle is likely to take place in the streets of Hawkins, rather than the Upside Down, meaning that season 5 will operate on the biggest scale yet.
He stumbled upon mysterious shadow particles that he was able to use to his advantage, after years of exploring the realm that would become known as the Upside Down. The scale of the injuries Vecna sustained in season 4 align him more closely with the monstrous wizard the Hawkins kids named him after. Vecna would be vulnerable if he tried to prey upon Max because he needed to go into a trance to use his telepathy.
Max was Vecna's final victim and the way for the Upside Down to invade was opened when he committed three murders. Vecna's body was gone when Nancy, Steve, and Robin rushed to the ground floor. He was set up to be the darkness to Eleven's light, a twisted mirror image of the show's greatest hero. The previous seasons focused on primitive monsters like the Demogorgon and the Mind Flayer, but now evil has a face and a name.
It's possible that he was waiting for Eleven to come back to Hawkins so that he could hit her before she did. He tried to figure out how to tear between the dimensions in the first season of the show. Vecna was able to close the Gate because she was able to resist the power of Eleven.
The full scale of Vecna's plan is finally revealed in the second volume of the season. Unbeknownst to them, Eleven tried to help by entering Max's mind and engaging Vecna in a mind fight. He used these particles to create the Mind-Flayer, an act that made him feel like a god, and then spread them across the Upside Down.
The truth about this villain has slowly been revealed, shining a light on Vecna's identity, powers, and origin. He is completely ignorant of the fact that he has created a hive mind that embraces all life within that dimensions. Over the next few years, he sought ways to duplicate Number One's powers, keeping Creel as an orderly, kept under control with a microchip that blocked his powers.