_Vsmit: In Naxx, why does Thaddeus yell that we’re too late, and he must obey? Did I miss something somewhere?
Anne Stickney: Ooo, this is a good question. Thaddius was supposedly built from the flesh of women and children — their souls are fused together inside of him. If you listen to the ambient noise when you’re in Naxxramas, you can randomly hear the screams of these people crying for help. Once you’ve killed Thaddius, the screams stop.

Basically, the screaming is the souls of the damned bound inside of Thaddius, hoping you’ll come to rescue them. That intro quote is telling you that you’re too late to save them all — that’s also why he thanks you when he dies.

Gross, huh?