They were the last time we talked to them down in Tartarus. There was also another chappie down there they were chattering with. I didn't catch his name, but he helped the princesses when some fiend named Tirek stole their powers and chucked them to the bottom of the place.

If the Tree of Harmony doesn't exist, how are we meant to defeat Calice, though? All the native Element Bearers except Ms. Fluttershy are inside of her.