The full list of threats faced by Holger is:
a suit of armor;
the Hell Horse;
the Wild Hunt.
Is the end rather abrupt? Having retrieved his sword Cortana and regained his memory:
"He rode out on the wold, and it was as if dawn rode with him." (p. 154)
But then we are back with the "outer narrator" visited by Holger who tells him:
"I rode out and scattered the hosts of Chaos, driving them before me." (p. 155)
That is all. Then Holger was back on this Earth in the Danish resistance helping Niels Bohr to escape from the Nazis, thus waging essentially the same fight in two worlds.
Despite Anderson's prolific output, there are sequels that were never written. Holger disappears again from this world but we do not see him return to the Carolingian world of his origin. We do see him lost between worlds later but not in a direct sequel to Three Hearts...
The Foreword to Anderson's The Broken Sword (London, 1977) ends:
"As for what became of those who were still alive at the end of the book, and the sword, and Faerie itself - which obviously no longer exists on Earth - that is another tale, which may someday be told." (p. 12)
But it wasn't.