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I dunno, if the grim reaper dies, I think all rules about death are up for negotiation, and they died first.

Looking at some Pathfinder 2e stuff, you could maybe use a dimension. The Sphere of Annihilation doesn't really annihilate you, it forces you to a different contiguous dimension with strange physics and alien creatures/growths. Off the top of my head my idea is something like:

1 - A world of boney growths that work like a cross between coral and fungus, with microorganisms spread as sporelike beings (that can grow in the players). The other dangers are lack of normal weather, clean water resources, and giant insecticide creatures (predators and prey) living on, what's revealed to be a ball of rotting flesh and impacted bone. A literal world made of the the banished and slain by the Orb.

2 - The world is littered with the discarded possession of the dead, lost scrolls rotten by strange conditions, weapons rusted or eaten by the inhabitants, and fragmented journals and maps carved into chitin and bone that direct newcomers towards brutal settlements of inbred survivor clans. (Your choice if they're hostile, creepy, friendly, or any insane mix of the 3, but they should probably be powerful to survive)

3 - Magic is wild here, gravity strange and inconsistent (and tiring to continuously fly in for non-native creatures)

4 - They can catch glimpses through to the real world by painting the inside of skulls from their world with the blood of insect monsters and staring through its eyes (forehead to forehead). (They can see their friends journeys if you want, or maybe just random glimpses of whatever plane/setting is closest)

Then have one group be on a survival journey in an alien world and the other a "how do we get them out" journey. You could maybe even imply the lich could know, complicate the issue by requiring them to confront him once without the phylactery (or with it as a bargaining chip) for information.

As for the Grim Reaper? You could use him as an example of the dangers of the place. Have him do something (cut through some of the dangerous coral-fungus to get to a player or something) and merc him on the spot as a warning. You don't need to necesarily take it easy on the party from there, but really put the fear into them that this place should not be messed with (and maybe make them afraid that their friends are trying to save them).

And for the character who cast Planar Anchor? Maybe kill him? Send his body, dead, to the alternate dimension but his ghostly soul stays with the other group. Until he's resurrected have him be able to occasionally hear the surviving players in the alternate dimension.

Not sure how much customization on the alternate world monsters you'd want to do, maybe just use regular giant bugs with far realms templates or something (not sure all what Pathfinder 2e has) but you could give the remains of them extremely weird powers that might later come in handy. (Like strange multi-planar scent based stuff which could be useful in tracking down the phylactery later, just in case they do trade it). Although you could also imply that they could be importing an infection coral-fungus thing into their real dimension.

The easy answer is for the SoA to not actually destroy everything but be a gateway to the plane of Limbo/Pandemonium/"wacky demi plane". Where they have to find/fight the McGuffen to get back, all while the reaper chases them around causing problems.

Sounds like a great excuse to explore Limbo or Shadowfell/plane of shadow.
Facing a lich in the shadowfell is probably unwise, but so is hurling a sphere of annihilation at your buddies.

I would like to reward them for this incredibly creative solution not punish them. [...] Should I have some god save them but at a cost?

No no no no no, let what happened happen. We play to find out, even when what we found out sucks and is unwanted.