No, all three are immortals. Their son is just like them, his real form is a eggret which makes him immortal. They just chose to stay in the mortal realm since that is where they were the happiest.
In the book, they stay in the demon realm since XF is still the ruler of the demon realm. I would recommend you read the epilogues of them in the demon realm, they are really sweet and funny.
thank you for the clarification! see, i haven't watched all the scenes and i didn't realize that .
i was too sad , maybe some other day i'll watch it properly.