Since TRY doesn't happen in the novels, only Gorun Nova (the Sword of Light) appears I think. At the end of novel 8 (which is the end of NEXT) Fibrizo takes it from Gourry and sends it back to the Lost Universe world -- or more specifically, to Dark Star.
It basically goes like this. The Lord of Nightmares created the 4 worlds and on each world there is a big Mazoku and a big Shinzoku. Shabranigdo is the big Mazoku of Slayers and he split pieces of himself off to create 5 lords who serve him. Each lord then created their own servants, which make up the rest of the Mazoku race. Shinzoku tend to just get dragons to do what they want rather than losing a piece of themselves to create servants.
In Lost Universe the big Mazoku is Dark Star. Like Shabranigdo, he created 5 things to serve him, but what he created were the lost ships (or weapons of light, as they appear in TRY). Rather than feeding on fear like most Mazoku (and Dark Star himself) do, they're designed to amplify the will and spiritual strength of humans. I guess his strategy is to use humans while Shabranigdo just ignores them, since it's in a Mazoku's nature not to admit that anything else could be better than them.