And (and this is all from my memory), it kind of sounded like Tindwyl chose to go on, while Kelsier wanted to meddle, and Vin and Elend had just barely died, so they decided to wait for a bit while Sazed cleaned up the world.
My vision of death in the Cosmere is that When you live you are connected to all three realms (physical, cognitive, spiritual).
When you die, you lose your connection to the physical realm, so you exist on the cognitive and spiritual realm.
This is why Sazed was able to talk to Kelsier and Elend and Vin, because they still existed on the cognitive realm. Tindwyl, on the other hand, decided to go on to just the spiritual realm, losing her connection to the spiritual realm.
This is just wild speculation. It may be that the 'waiting place' is only for Allomancers, or maybe just for those that have an excessive amount of shard (allomancers) in them.
EDIT- Something else occured to me, and I didn't want to double post.
I think that Kelsier was only able to 'piggy-back' on Preservation's power because he didn't have a connection to the Physical Realm.
When Vin, Ati, and Leras all lost the power, their bodies collapsed to the ground. But because Kelsier was dead, his didn't. This also explains why he was only able to talk in people's minds, instead being able to move the planet. He had no connection to the physical realm, so he can't affect the physical realm.
