There are ghosts and other undead around, so there’s definitely an afterlife. You wouldn’t have any undead whatsoever without the possibility of an afterlife.

What’s more, around the end of Heavensward, two Definitely Dead allies show up as spirits to help you.

So if you take what you see with your own eyes and experience for yourself, you can only conclude that souls are not completely destroyed and scattered after death, whatever the NPCs say notwithstanding.