Depends on the type of undead. As a zombie or skeleton you’re probably fine, as there isn’t really any sentience there. Nighthaunt though are all about being punished by Nagash. Bladegheist Revenants for example spend their entire existence experiencing their last moments - and seeing as they’re all the souls of people who died frantically trying to escape being trapped (drowning in confined spaces, buried alive) etc, it’s a pretty miserable afterlife