Stranger Things season 4 showed that Vecna retains his victims after killing them, and this idea explains what he might do with them.
A Stranger Things season 5 theory explains why Vecna didn't bury his victims. Season 4 introduced the villain as Eleven and her allies' latest Upside Down foe. Max, having recently lost her brother Billy, was the perfect victim for Vecna, who preys on traumatized people.
She escaped him with the help of her friends and her favorite song, but Vecna caught her again at the end of the season. The season finished with Max in a coma and her future uncertain.
Early in the season, Vecna targeted Chrissy Cunningham, who was easily manipulated by her mother's trauma. Stranger Things season 4 explored Vecna's origins, from his childhood at the Creel House to Dr. Brenner's first experiment at Hawkins Lab.
In season 5, he will likely continue his feud with Eleven. Though the season may reveal why Vecna has kept his victims' corpses in his mental lair, which could cause Hawkins problems.
Eleven's doorway from Hawkins to the Upside Down expelled Vecna, then known as One, to the parallel realm, destroying his human body.
His current appearance resembles a high school science classroom human anatomy model or Freddy Krueger from A Nightmare On Elm Street.
In Stranger Things season 4, Vecna wants to return to Hawkins and rule the world, but he required a human body to fit in. This is why he pursued Fred Benson, Max, Chrissy, and Nancy Wheeler's school newspaper acquaintance.
Vecna's victims' bodies appear in his mental lair in Stranger Things season 4.