What happened to Koufuu Hino?
This scene was never actually explained as far as I'm aware. 

It's possible that it was his Cantus leaving his body and returning to Heaven, as he states "the art within me is losing it's flame," which may be a reference to the ceremony when one receives their Cantus, during which they look into a flame and say their Mantra. However this explanation doesn't explain who the woman is. (but doesn't she look a bit like Saki?)

Perhaps she was a hallucination by Saki. She did have a few of them that night after all.