willoughby's fate is so ambiguous because it's up to your own interpretation.
he haunts the narrative and you can decide how his story with ethel ended. it doesn't matter if he left or died or killed himself. either or ethel is alone and she will blame herself.
that being said: this is me coming out as a 'willoughby left shady grove' truther!
he's not scared of storms/harsh weather, in tempest he's not talking about tornado etc, because it's all metaphor of him being scared of fighting with ethel. in dust bowl there are lyrics 'watching, hoping the wind blows slowly, so i can keep you a moment' which i interpret as ethel herself also using weather/storm metaphorically. prior to that is a line about him tending to his row of violets that do symbolize purity and innocence but also first love. he's taking care of violets (his first love) and is scared of rain/wind/bad weather (fight with ethel).
in tempest the fight finally arrives and just as both of them feared they do not survive it. ethel leaves him because she refuses to see willoughby anything other than the white knight savior she romanticized. and in that moment it's not ethel who willoughby sees leaving him. it's his mother. but this time he decides to take some of his agency back, because he's tired of things happening to him. and he leaves shady grove.
willoughby, unlike ethel, can let things go. his apathy towards his father nearing death is the proof of that. he doesn't cling to things that hurt him. he's not searching for explanation or reason. ethel does all that. in annotation for the opening lyrics of 'a knock on the wood' hayden herself says that willoughby takes an action in attempt to separate himself from the generational trauma which ethel is unable to do. in their fight when willoughby sees in ethel what remind him of his mother, he once again makes an attempt of separation from the trauma by leaving.
the harrowing last lyrics of tempest are 'im gonna regret this forever'. he will regret leaving ethel forever because it's his first love. someone who believed him to be a savior. but he has to leave.
while i do think he haunts the narrative in all of his possible fates, the scenario where he leaves ethel behind in shady grove is the saddest to me. willoughby functions as a character foil to ethel. they are both from the same town. terrible childhood. and yet their personalities contrast each other. ethel lives in delusion, willoughby in reality (waco, texas lyrics). ethel cannot let things go, willoughby can. ethel's empathy, willoughby's apathy. and others. him successfully leaving shady grove for better life is directly opposing ethel leaving shady grove by getting into abusive relationship and then getting kidnaped. willoughby seemingly breaks free of the generational trauma, ethel swings by her neck from the family tree in hopes that someone cares.
willoughby will see her face on the side of a milk carton in a dairy aisle far away from shady grove, he will regret leaving ethel forever and yet he will be able to live. he will not wait up on her. he will simply carry on with the regret in his heart.
you all can disagree idk, it's art at the end of the day. there is no wrong or correct interpretation, i just wanted to share my interpretation.