From the REG:
If a card is placed on another card and the underlying card is relocated, the placed card is generally relocated to the same location that the underlying card is relocated and remains there. Exceptions to this rule are:
Lost Souls that are placed in sites are always returned to the general Land of Bondage and do not follow the underlying sites when the sites are relocated.
Any card placed on a Lost Soul is discarded if the Lost Soul is relocated outside its original Land of Bondage.