Whatever his unfinished business is, it appears that it was finished when he was revived by Dr. Whale in season 2, when he had a chance to meet Regina once again. I can't remember anything that Regina told him that time, but more or less, he was freed after their meeting and Regina's message to him.
All deceased people within the OUAT universe go to the Underworld after death. If this is correct, then that means Daniel already went to the Underworld after the first time he died (when Cora crushed his heart). So does this mean he was there that whole time with unfinished business until he was revived by Dr. Whale? Now that I think about it, he and Mr. Gold/Rumple are the only two people who have died, gone to the Underworld and come back.
I remember zombie Daniel telling her that she had to let him go because living (in his revived state) was painful for him, and that she needed to learn to love again.
I could have sworn it was stated in one episode that all people go to the Underworld after death, and it's a place for people to have a chance to move on to the better or worse place. Maybe I'm remembering wrong...
I think Applegirl is right, I remember something like that too. I don't think the ones who are born in LWM go to the UW though. But the ones who are born in magical worlds first go to the UW, no matter if they have an unfinished business. Think of this like bus station. Even if you don't have an unfinsihed business (which I think everyone must have it), you have to go through the UW to go the MO or the "Worse Place".