Don't yell at me.

The Core, as we all know, is the really outrageously hard-to-get-to (except for Level 10 5* gear players/Vanguards) area after having to cross Lord Vanaduke's cursed path. And apparently, the breadcrumb trail of recorded messages left by the Alpha Squad ends at the small bridge to take a leap-of-faith into the Core (whenever it's open) and wasn't destroyed by whatever was chasing the Alpha Squad.

Note that I am a 4* dweeb in Spiral Knights that hopped on a train past Vanaduke. Don't ask.

So where did Alpha Squad even GO? I have some theories. (Some theories are jokes. They will be labeled as jokes under the titles.)

Based on what we know, here are some theories:

1. They got vaporized. The end.
(This theory is a joke, by the way.)
It seems ideal, seeing as how the Gremlins tried to keep everyone out as the Core is managing to power the entire planet of Cradle and keeping it active 24/7, so the Core is, no doubt, intensely heated (such as all planets cores) kept under a metal case, with steam commonly coming out of the shell. It could be around past 100 F (or whatever symbol it is for temperature in Cradle), and by way past I mean enough to vaporize basically about anything. The steam coming out possibly means that the Gremlins made a cooling system for the Core so that it doesn't overheat and destroy everything in sight. (This is flawed seeing as how the case itself doesn't melt.)

2. The Core is really a giant teleportation machine.
It is possible that the Core is a giant teleportation machine (besides a 24/7 powerhouse) that might have teleported the Alpha Squad in their time of great peril from whatever was chasing them. Why else would the Gremlins make so many levels, made just to destroy whatever was descending into the Core, besides that someone might overload the Core and destroy everything in sight. If this theory is true, then maybe it might be just that Alpha Squad was teleported to either Cradle's moon, back to Isora, or somewhere else in the universe. Cradle's moon could be an option, seeing as how nobody took mind of the moon, as the Skylark only had partial scans of Cradle and not the moon. If this is true, then it's possible they didn't scan the moon for any comlinks active, and they were only looking on Cradle, rather than the moon. If back to Isora, depending on how the war went, the Alpha Squad could have been overwhelmed and died on Isora, and their comlinks destroyed. This also depends on how far it is from Isora to Cradle. If somewhere else in the universe, that area may have been TOO far away and the comlinks couldn't respond to Spiral HQ.

3. The Core is a literal living thing.
Here's some facts.
-1. The Shadow Lair levels have a level at the end called the 'Sanctuary', which the really main attractions are the Alchemy Stations and the suspicious 'Echo Stone'. Investigating the 'Echo Stone' does copy it to your Arsenal, but observing it apparently depicts actual events in the dimension where the real Spiral HQ resides. To provide examples, I will type up the descriptions of the Echo Stones straight from the wiki.

Because we're on the subject about the Swarm, I will put up a theory of the Swarm as well.

The Swarm was created in the real Cradle world by the Gremlins, but was released for some reason, causing havoc. No Swarm monsters are encountered in the real Cradle, but it is possible it's there, considering at a level in one of the Missions has Swarm pixels all over the place. Herex might be behind this, managing to control the Swarm, but not releasing it, as it may have been too weak to fight off the Spiral Knights yet. Seeing as how the Shadow Lairs are twisted and corrupted versions of the real Cradle, and the Swarm is there, the Swarm is no doubt inside the real Cradle as well, just waiting for it to be unleashed... Herex might be also in the Shadow Lair Cradle, as well.

So, it may be possible that the Shadow Lair Cradle's own CORE is really a living thing... relaying the events from the real Cradle, the Shadow Lair Cradle, or both. And the Shadow Lair Cradle's Core is sending you these Echo Stones.

I will now post the Echo Stones descriptions. Skip this part to not get spoiled.
Echo Stone 1: Gloaming Wildwoods
"I dream..."
"Within my dream, I saw it open the void, felt its endless hunger."
"You are safe here, Knight. Within this dream, its many eyes cannot see you nor can its many arms reach you."
"But this dream is fleeting. Use what is here to prepare for the battle to come. It knows of you now. It will find a way out and come for you."

Echo Stone 2: Royal Jelly Palace
"I dream..."
"Within my dream, I see your legion, falling to this world like burning stars."
"You fall with purpose, burning ever brighter as you reach for the heart of this world."
"Hold dearly this fire in you, for darkness will consume all the night if its stars begin to fade."

Echo Stone 3: Ironclaw Munitions Factory
"This world was created to protect me."
"Vulnerable in slumber, worlds were drawn to shield me from the darkness."
"This world is now my prison."
"In his madness, the architect betrayed the pact. Twisting his creation into a game of death, it now devours all who enter its iron embrace."

Echo Stone 4: Firestorm Citadel
"As I dreamed, it consumed."
"It devoured the knowledge of time... Memories of the dead... The hearts of kings and the souls of their people... Good and evil... It consumed."
"It grew stronger, endlessly mirroring itself within the space of my dream. Endlessly mirroring... Expanding... Infinite."
"What it was before, it is no more. Neither beast nor god, it is a creation unlike all."
"It is... the Swarm."

Spoilers end here.

Now, with information from the Echo Stones, it may be that, in a weird, strange twist, the Core opened up because it 'sensed' the Alpha Squad, and they all jumped in, shielding them from the darkness (the Swarm) that was chasing them.

The reason why I say that the Core is actually a living thing and 'sees' everything, is because it apparently saw the 'legion' (The Spiral Knights) fall to Cradle like 'burning stars' (The Heat that the Spiral Knights use for gear, no doubt that the armor is infused with heat as well) and that they 'fall with purpose' (Good ol' Fate dragged them in to 'save' them) and the Echo Stone tells them to 'hold dearly this fire in you' (Their reason and purpose to reach the Core in the first place). The Core may be relaying the Ironclaw Munitions Factory's Shadow Lair as well and on the real Cradle, as it says that Cradle was made to protect 'me' (no doubt the Core) and that 'worlds were drawn to protect me from the darkness' (The Gremlins might have attempted to make a defense system for the Core and it oversaw the entire operation, besides the Nine) and that 'this world has become my prison' (Meaning that the Gremlins went cuckoo in the Shadow Lair as the Swarm could not be stopped) and that the 'architect betrayed the pact' (Possibly noting Warmaster Seerus's alternate in the Shadow Lair) and 'twisting his creation into a game of death' (Possibly killing or converting all the Gremlins working there to the Swarm).

About the first Echo Stone, it might mean that the Swarm is ALSO in the real Cradle and it's on the brink of reaching out for you and taking you deeper into the dark... as with the sentences 'it knows of you now' and 'it will find a way out and come for you' meaning that the Swarm in the real Cradle might be trapped somewhere, waiting to get out and take whatever it finds into the darkness...

The Swarm might be a mirror to the fires that consumed the real Firestorm Citadel before the Spiral Knights even came, as the fires consumed all of the people that Vanaduke created to take back his kingdom, and the Swarm consumed all in its path endlessly without mercy... the fire 'grew stronger' as it was 'endlessly mirroring itself' meaning that it could not be stopped, much like the Swarm.

All in all, the Core may be a real living thing with its own MIND, THOUGHTS and SIGHT. It can SEE all, SEE everything that is happening, the Shadow Lair's own CORE could be CONNECTED to the real Cradle's CORE and RELAY everything that has happened when the Spiral Knights FELL towards the PLANET, burning like BRIGHT STARS. Both Cores could SEE EVERYTHING and is really ALIVE and took the Alpha Squad into its own IRON EMBRACE. DEATH consumed all the KNIGHTS that tried to BRAVE the CLOCKWORKS and DEATH kept CONSUMING, flickering out the BRIGHT STARS that got BRIGHTER as they REACHED the HEART. The Clockworks is a TWISTED GAME OF DEATH. DEATH is a creation neither BEAST NOR GOD.

Now that my rant is over, I'll continue this later on as I'm attempting to update my Spiral Knights for the Gunner Update. (if it did get updated and the testing phase isn't done.)

Apologies if your mind possibly exploded and you got chills. (I did.)

Thank you for reading. More will be added if I can even find the 'Edit' button. Keep in mind this is a THEORY, not a suggestion or any type of hoo-hah like that. (Also, I might be in the wrong place for a theory, let me know if I am so I can move this.)