According to a recent Lore You Should Know, since the Second Sundering, Bane, Bhaal, and Myrkul aren't currently "full" deities at the moment; unlike most of the others they elected to be able to continue to affect mortal affairs directly, living as actual entities upon Toril itself instead of the Outer Planes, and are thus somewhere between avatar and deity status. The LYSK episode in question specifically mentions they are active in Baldur's Gate, and that we would likely see them actually be statted up in a future product, which currently looks likely to be in either BG : DtA, or its possible sequel.
The LYSK can be watched at:
https://www.youtube.com/watch?v=NAveVhvydhM