Other mistake: In the scene where Duncan has been captured by the Watchers and restrained in the upright table, take note of the needle. The camera pans around the Watcher's head and then shows the syringe delivering its contents. Once the dose is fully administered, it can clearly be seen that there is no needle on the end when he holds it down near the Highlander's chest.
Other mistake: As Kate/Faith is walking to meet Duncan, there are cars parked at the side of the road,the scene is meant to be in London but the number plates are the wrong style for the UK.
Answer: It's hard to say. Since the series totally ignores "Highlander 2" some assume that they also ignored "Highlander 3." But if you don't like that idea, you can probably assume he's off at college with his own life, or maybe even been killed by Jacob Kell.