Veigar dies and W or R does no damage WHY!?

it does damage?

I mean Heim's turrets can be active for approximately too damn long after he died, I don't see why these abilities shouldn't do damage

I know for a fact that if you finished casting W before you die, it still does damage. I've gotten a kill this way recently. I'm less sure about R, but if the missile is spawned it should be doing damage as well.

It... it should still deal damage. This is a bug if it isn't dealing damage.

When I cast W and die right after, the animation does show my ability hit the ground but with no damage or sound effect, same with R and it just happened to me in a game.

You're probably dying mid cast. I've had my Dark Matter and ult come down and put people in a world of hurt after I died on several occasions. I'm guessing your opponents are just getting lucky that you died mid-cast. Although, sometimes I do see the animation through the fog of war, but usually if it won't connect I don't get any audio.