As far as I know, the only hint (If you can call it that) is a quote from Atton, when the Sith are attacking Telos. Grenn asks where Bao-Dur is, and Atton says "Come to think of it, where did he run off to? HK-47 too.". Which suggests that he went with HK and indeed died helping him. Sad, Bao-Dur was one of my favourite characters.
It also explains why Traya couldn't read his future.