Currently it's hard to tell if an entity is still alive in Legends Mode (and the exported XML). You can sort of guess that it might have died when the last entry read something like "In the early spring of 335, The Stern Sky attacked The Parched Golds of The Moistness of Walls at Rhythmpulleys. The elf night slayer Cana Quickpines led the attack, and the defenders were led by an unknown creature. The Sculptures of Night were hired as scouts by the attackers.", but that report doesn't even tell you explicitly what the outcome of the battle was, let alone whether the attackers just raided the site for a couple of cavies and left.
Looking at the site you'll find that "The Stern Sky defeated The Moistness of Walls and placed the elf Mifava Beachdistance in charge of Rhythmpulleys. The new government was called The Mountain of Wood."
Adding the latter entry to the report for the entity as well improves the understanding of what's going on, but it still doesn't clearly state that the entity actually ceased to exist. It would be useful to have an entity termination history event (there are ones for entities being disbanded and being [fully] incorporated into other entities).
In the case of a site government, I can guess that it might be utterly destroyed with the survivors scattering, being destroyed and replaced by one or more named refugee groups, totally annihilated with no survivors, and possibly go into exile with the intent to take the site back (but I don't think that's possible currently). For groups in general I would expect that they could cease to exist when their last member dies or changes allegiance (a bit tricky for civs and the like with non hist fig members [but DF really ought to know], but e.g. a performance troupe only consists of hist figs). Something like "In the late autumn of 123, Urist McPerformer left the performance troupe 'The Despairing Clowns' to take up residence in A Bright Future." "In the late autumn of 123, the performance troupe 'The Despairing Clowns' disbanded due to having lost its last remaining member."
An obvious possible end to a religion would be that it's last remaining members were killed by persecution, as well as simply by old age.
Edit: Sometimes the defeat of an entity is actually noted for an entity in Legends Mode (often followed by a note that the leader of the site government ceased to be leader), but usually the attack is the last entry.