Most of Bands of Mourning has a fair bit of misdirection running through it. You are presented with the myth of the Bands as having the power of the Lord Ruler, and are led to believe that the images depicting that myth are also of the Lord Ruler. They're not, and that several people call out the fact that this mythology makes no sense (the Lord Ruler with a spear?) is your tipoff that it is wrong.
This misdirection is reinforced when the Southerners are met, and they describe their savior that created the legend of the Bands, who came to them claiming he used to be the Sovereign and God. It's still not Rashek, still not the Lord Ruler.
It's Kelsier. Kelsier survived being dead, and the story of what he went through is told in Mistborn: Secret Histories, a short novella whose existence wasn't even widely publicized until people reached the end of Bands. It reveals that Kelsier found a way to preserve himself and influence events in the original trilogy, and implies that he and Spook found a way to get him back to the real world as well. Rashek, the Lord Ruler, is even portrayed after death, and moved on wanting nothing further to do with the world.