There is a great immortal known only as the Winter Goddess who rules the Frozen Empire, far north. The four Princesses have good relations with her, but only through a messenger who makes the journey south to Canterlot to commune with the Princesses.
Starlight Glimmer did not die when she was banished to the sun. She, for some reason, some unfathomable power of will, had chosen to survive the fire. And so, she waited.