I think for certain Dark Wizards/Witches, that's just a plus. If the afterlife exists, then it's not a huge leap of logic to assume that heaven and hell probably do too, or at least a close enough equivalent. If you're a dark wizard or witch already, and have the self-awareness to note that evil people probably don't go to heaven, well, I'd take painless oblivion over a hypothetical infinite torture hell any day.
Which does mean if any magical research deliberately proves the existence of a post-life torture plane... well, consequently Horcruxes probably become way more popular, beyond the "I want to be like a Lich for the immortality" demographic. A "get out of hell" free card is kind of a big deal in universes that have a hell.
Or, reincarnation is part of the development of the spirit, and Horcrux damages your spirit at least enough to kick you off the human stage, back down to simpler animal levels? Then, you're going to need to crawl all the way back up to a human incarnation again?
Tween lives, you plan later ones, study-up things you're going to need, get therapy to help you resolve trauma from the life just lived? Horcrux kick you back to kindergarten, at least for decades, maybe centuries?
Eternal torture hells, heavens, some comment that these look like really effective 'tools' for social control... And, there's some really... unfortunate issues when they're thought about. But,
ineffable.
Looking at the religions of the world, how they've changed over millennia, possibly starting from
animism, and wending along so many strange paths, there's so many possibilities...
We don't know what the Potter-verse post-life model is, but Dumbledore seemed to think it was worth looking forward to... "Death is but the next great adventure."
As always, what would I know?
EDIT:
Was summarised as "Suicide? You didn't think you'd get away from the problem
that easily, did you?", by someone I rather respect...
Also, the old joke: new arrival, being shown around heaven, asks about a wall, "Oh, that's so the atheists have somewhere to shout at each other, without bothering other people".