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Originally posted by: Klingon_Jedi
He did, It just wasn't shown. The Radio drama has the line, "I burn his armor, and with it the name of Darth Vader."
No, he didn't disappear. And conclusive evidence finally comes in the commentary on the upcoming ROTJ DVD. When talking about this scene Lucas says: "This little scene where he burns his father's body..."
Now why didn't he disappear? Simple, and this is just my opinion, he doesn't know how.