There are definite remnants on Earth and the Moon base that indicate there were 4 members of the Diamond authority. But, as we learned in 'Monster Reunion', by the time the war started, there were only 3. Seemingly a recent development as well, considering that the insignia seen in 'Jail Break' had not yet been incorporated. So what did happen to Pink Diamond? Why have we never seen an image of her? Why don't the Crystal Gems talk about her? There's a theory video below that takes a stab at what might have happened.