as I imagines the league would have made very, Very, VERY careful searches of old Dilgar space for dilgar - any dilgar - to blast into plasma... (remember how hot the blood was in B5 time, almost 30 years later - now imagine how hot it must have been back then, and you can guess that they went through every cubic klick of space the Dilgar had been passing through with a fine-toothed comb to make sure none of the "demons" as some of the races involved called them could survive.
My own thoughts on this is that they escaped into hyperspace and then hid in the vast spaces between inhabited systems. Space is VERY big. Within just 50 light years of Earth are over 800 star systems. The map has about 200. The map is not to scale, and no real distance is given, but it looks like we probably have a fare number of star systems in the immediate region that are not colonized by any race.
They would have probably set up a base in an unremarkable and otherwise unihabited system. Built a jumpgate or at least set up a beacon for their ships to use. They might be using a large warship to open jumppoints for smaller ships to avoid having a big jumpgate that might be found.
We know that both the Narn and Centauri colluded with the Dilgar. They might be dealing with them in secret, or League races not involved in the war, for supplies. They might even have dealings with the Minbari.
On related note, The only distance that we really have a good number for is B5 to Narm, 12 ly. We know this is a solid number because it was so important in the plot of an episode. Most other distances given were really throw away numbers that could have been guesses, exagerations (75 ly to Centauri Prime for instance), etc, but B5 to Narn had to be very accurate because it was a key to one of the subplots. I think we also have a pretty solid number from B5 to the Brakiri homeworld of 27 ly. Given these numbers, anbd discarding all the others, it looks like the field of play given by the game map (which obviously isn't to scale) is about 60-70 ly across. That should contain close to 300 stars, leaving 100 or so unaccounted for on the map.
Another interesting fact is that we often think about the arms of the galaxies and the voids between them, but this thinking is in error. Earth is in one of those voids! The closest arm is hundreds or thousands of light years away. Those parts of the galaxy would be even denser with stars and civilizations, and from what little information we have about the locationns of B5 and the other races, ALL of them are in that gap between the galactic arms. The "Rim" assuming that it refers to unexplored space, probably doesn't reach the nearest arm of our galaxy.
Makes me wonder what is beyond. Could some galactic empire exist nearby? Were the Vorlons and Shadows really all that powerful, or just by comparison to the other races in this part of the galaxy? Often B5 made it seem like those events were shaking the entire galaxy, but when the most distant number thrown out with any seriousness was 75 ly, and the galaxy is 100,000 ly across, that is sort of like having a major war on Guam (entirely contained to Guam and involving no people not living on Guam) and claiming the whole world was changed.
We have seen probes and ships from beyond the local area of space, "A Day in the Strife," "A View From the Gallery." These came from extremely advanced and unknown alien races somewhere beyond the main story area and probably completely uninvolved in the Shadow War or anything else that was going on in our little corner of space.
This leaves a lot of room for anyone who wants to take their players on a five year mission where no man has gone before on an EA Explorer Ship. No telling what they might find.