Do the effects of Heralds last even in the final battle ??? I mean, the King in Yellow could be a deadly combo with Glaaki ...

"If the Ancient One awakens, return the Herald sheet to the box, as it has
no further effect on the game." (p. 2, KiY rules)

In other words RTFR !

Any heralds are removed from play when the AO awakens. However, some heralds also describe a special bolster certain AOs get in the combat.

The Blight cards remain in effect, though. Joey the Rat and Miriam Beecher could be two really annoying cards.