WMG / Moonwalker

Joe Pesci's alternate universe is populated entirely by his kidnapping victims. Once they're addicted to his drugs, they're unable to leave and grow up doing nothing but endlessly dancing to "Smooth Criminal." Michael Jackson stops by from time to time to dance with them and cheer them up.
  • It's not so bad once you think about it.
  • So they do have some relevance to the plot. It would also explain why they all panicked and pull out their guns when Mr. Big and his men showed up.

Michael did go somewhere after he killed Mr. Big and his men...
He went to find Mr. Big's base and destroyed it, along with anyone else and the drugs inside it, making sure no one survived.