First of all- An explanation
If you just want to find out what happens next skip ahead. If you're confused as to why Robert/Death suddenly became Pyramid Head/Death this short section will explain why.
You see, during the battle with Death, Xuchilabra (the God formerly know as Pyramid Head) was watching. He fed off the rage of Death, but when Death died it gave up that rage in its apology to John. This pissed Xuchilabra off a bit so he possessed the body of Death, morphing his head into the signature Pyramid Helmet and send him to finish off John, Leon and the NCIS agents.
So! On to the next chapter!