I have it all covered, guys.
The canon reboot.
I have an explanation for it. Well it is a theory, but I do believe in it myself. The cast of playable characters in Mystic Square went as follows: Reimu, Marisa, Mima, Yuuka. Oddly enough, three of these four survived the reboot.
The fourth one is, as we know, Alice. And here it goes. Notice that Alice had no particular reason to be in Stage 3. She just was there, for no explicit motive or anything. And where was she going? To where you came from. The human world.
Consider this: if Alice IS, like fans have speculated, Shinki's adoptive daughter, why would she go away? Well, it has been said that Makai is actually highly poisonous to humans, am I right? And what was Alice at that time? A human, yes indeed. Her only chance would be...not to be human anymore.
Now it is actually unknown where the Grimoire was located before she took hold of it -it could be anywhere actually, but I have some reasons to think it was somewhere in the human world -hence she was going this way. But have you ever stopped to consider what kind of powers this thing bears? According to the user herself, "the most powerful magic you've ever seen", and in Gensokyo, you gotta say, that's quite a thing.
If it is so powerful, that could pretty much mean a simple thing: a human taking possession of it, better, TAMING IT, to use it when she wants to, would shift the whole power balance of Gensokyo. I do mean the WHOLE thing. And let me tell you, shifting that kind of balance is not a good idea. The consequences can be pretty extreme. You know, such as unleashing a powerful spell of magical destruction that would make everyone vanish away? Oh wait, doesn't that sound familiar.
The four survivors help this theory even better: _Reimu is a miko, she is protected by divine powers;
_Yuuka is insanely powerful, being capable of a genocide as a simple GAME. So she could pretty much shield herself.
_Alice was immune since the spell came from what she was holding.
_Marisa, however, is my strongest proof. Notice, once again, Mima was never seen again, unlike her fellow playables. And Marisa was quite simply a human, with no particular power -just lots, lots of training. No native ability or anything. So she wouldn't have survived...if not for Mima, that is. The spirit just sacrificed herself for the witch to live. Simple as that. Giving her a shield with her magic powers, she used up all of her strength and "died".
Those who couldn't protect themselves actually didn't die. Remember the expression I used? Vanish away. They either went to somewhere else to protect themselves (i.e. Shinki) or got reincarnated via a magic "transfer" (you could guess Mai became Cirno, for example). It would also give an explanation for why Makai blew up in the last fight with Shinki. Sure, she was using her full demonic power, wrecking up her whole world, but don't you think she would have rebuilt it afterwards? She would, except if she knew it was useless.
I see gainsayings coming already, like "They could re-appear at any time". Well, sorry, not all characters, and we all know this. Mima however is the main "No" of this theory for some people. They tell me that she could return at any time and all of it would be made invalid. However, I did say that she was a spirit; having no life at first, why couldn't she re-appear? It would just take a while and, well, it has taken a while already. So yeah, what do you think about that?
Makai in UFO stage 5 is extremely different from the MS Makai, you have to recognize. And did you see Shinki anywhere in it? Nope.
Remember, I said she wrecked her whole world and didn't rebuild it because she knew it was pointless. And actually, UFO's Makai gives me MORE evidence to support it. Remember the MS Makai? There were residents in there (Luize, Mai, Yuki), there was a lake, and there was the giant Pandemonium where Shinki used to live. None of that, to my knowledge, is present anymore: Makai has become a dimension of ruins and chaos, where Byakuren was SEALED as a PUNISHMENT. So, yeah.