The Immortal Throne can be found in the Ruins of Sescheron in Act III through Adventure Mode and is situated north of Kanai's Throneroom located on level two of the Ruins of Sescheron in Act Three.
Prior to to the 2.4 and March 1 2016 the room served no purpose. On March 1 2016 new portal would open to transport player's to Kanai's Stomping Grounds.
The warrior astride the throne is Kanai.