It became even more powerful when she was diagnosed with terminal cancer. The connection you created through playing together provided a safe place to escape, but WoW may have offered an added benefit for someone with this kind of illness. Players can feel as if they are their characters while playing - as if they have somehow left their real bodies behind. I call this sensation a "dissociative experience," which is just psychological jargon for feeling that you are not yourself, or not in your own body. This can be a great relief if you are hurting or suffering. I experienced some of this dividend when I myself played WoW, and my health issues were minor compared to your friend's.
To be clear, I don't think it's always good to escape the sense of being in your own body. It's far too easy to forget your real-life priorities and basic bodily needs like sleep, exercise, and nutrition. Psychologists often think of dissociation as the result of severe trauma or abuse - it's the mind's way of checking out when you cannot physically escape. People with severe dissociative disorders have very serious problems, and some can't control when they are present or absent in their real lives. I have no doubts about any of this, but I've come to believe that the kind of dissociative experience offered by gaming can offer real benefits to some gamers with serious health problems.
It can also provide relief and escape from emotional pain. While you yourself were not ill, you had to cope with the devastating loss of a very intimate friend. Any of us who have been through this can testify to how wrenching it can be. I'm so sorry that you had to lose this very special person in this way.
I think you were able use playing WoW as a way to stave off the hurt and pain of this loss. I also think you kept your relationship alive through the quest to defeat the Lich King. Even though she wasn't there anymore, you and your friend were still together psychologically as you tried to do this.
I think your despondency is quite understandable. The demise of the Lich King means in some way an end to this magical connection. Perhaps your desire to do it again or do it right represents a wish to hang onto your friend. If you kill the Lich King right, it's over and you lose a last precious tie to her. It might then feel as if she is really gone.