When I opened the door there was awhirl of an orangish color in the back-right corner, then nothing but the 'we could have done something' bit. I had Solas in my party and he remarked that Connor resisted the demon to the very end.
Seems to be happening to everyone then, Dorian delivered the same line in my case as I didn't take my own mage. The brief flash of orange flame over by the fireplace seems to be all you get, and if you don't notice that then really it's an empty room and you have to assume Connor was in it and died somehow. Not very satisfying / complete but I can't find anyone who has had a different experience.
