In the Season 4 finale of Invincible, "Don't Leave Me Hanging Here," Thragg confronted Mark shortly after he returned to Earth, giving him an ultimatum. One that Mark eventually, and reluctantly, accepted, finally putting an end to the season-long Viltrumite War. Their business concluded, Thragg flew away, but not before telling Mark, "You will not hear from me again."
However, Thragg's whereabouts were left a mystery to the audience. Many show-only fans have wondered whether he, like his Viltrumite people, chose to hide on Earth to contribute to their efforts to repopulate. But the answer from the comics is honestly a lot sadder than one would expect from someone as seemingly composed and pragmatic as the Grand Regent.
Warning - The rest of this article includes spoilers for the Invincible comics and potential future events in the Invincible animated series.
Where Thragg Goes (And Doesn't Go)
Invincible fans who don't read the comics won't learn this until Season 6 and well after the impending Flaxan invasion in Season 5, but Thragg, for that entire time, decided to sequester himself to their last remaining Viltrumite warship stationed on the dark side of Earth's moon.
While the rest of the Viltrumites fraternized with the people of Earth, doing their best to repopulate their species, Thragg had been all alone on his throne inside the last remnant of their homeworld that he couldn't let go of.
The only time he ever left in the comic was to scold General Kregg for breaking his agreed-upon protocol of non-interference by helping the superheroes in the Flaxan attack. To his frustration, Kregg had explained that he risked his cover because one of his many human partners had been in danger.
Eventually, Thragg finally had it as he called in his three most loyal Viltrumites to his throne room to berate them for their baffling behavior and actions on Earth. He even felt disgusted by Lucan and Kregg for becoming infected by their "affection for these lesser creatures."
While Anissa simply hadn't coupled with a human out of disinterest, even agreeing with Thragg's thoughts about humans, Lucan and Kregg had become infatuated with their Earthling partners. When Thragg expressed his confusion about why they had become so attached to them, Lucan told him, "You've remained here, you haven't exposed yourself to [humanity]."
On reflection, throughout all of Invincible, Thragg never once set foot on Earth, unlike every other Viltrumite. It's never explained why in the comics, only inferred, with the easy answer being that he simply saw the endeavor as entirely beneath him, being the Grand Regent.
It's also possible that Thragg was, even subconsciously, scared of succumbing to whatever had afflicted Nolan. After all, it's incredibly hypocritical of him to criticize Anissa for not making an effort to procreate with the humans while he himself sits alone brooding.
Reaching a breaking point, Thragg told them all to leave, with Kregg, by far his oldest and most loyal soldier, looking back at him with almost pity at what he was missing on Earth as Thragg sat alone in an empty ship.
Despite Thragg being the strongest of all the Viltrumites, he's a coward of his own repressed feelings. Too attached to a past he'll never reclaim and clinging to a toxic and dying ideology, one that will lead to his downfall.