Why should it not have been in all three?
Because when the magic was cut off, the constructs fell apart and either were stuck in the Crossroads (and continued to fall apart), or fell to earth. If part of Arlathan can somehow end up in the Fade, which is the wrong direction for something real to go, then how is it still intact in the Fade? It should be shifting in form. Changeable. Yet it is described to remain constant and always visible from any island world. Also, why aren't there other structures like this in the Fade? The evanuris made dozens if not hundreds. Yet only one made it into the Fade?
The Crossroads was like a bridge between the two.
I don't think it was a bridge. It was more like a mesh. A combination. Like how a beach is a merger of land and sea. You don't need a bridge to get to the Fade. Its all around. You either go there or you don't.
Morrigan said how it was not actually the Fade but very close to it. To be honest we have no idea how the world of the elves would have looked pre-Veil.
Well, we have some idea. Solas describes it somewhat, and the "books" in the Vir Dirthara describe more. I think it can be summarized with, "anything you can imagine".
Flemeth/Mythal has her own little pocket realm in the Fade
Doesn't everyone?
and Mythal was responsible for the construction of major cities, probably including Arlathan (though she may have had help with that) so it may well have spanned all three planes of existence.
But the elvhen called the Fade the Beyond where the dead go. They also refer to the shifting paths of the Fade. Falon'Din's legend describes him as being rare in his ability to walk such paths. The Forbidden Ones are also exiled to the Fade where they fled, banned from the lands of the evanuris.
Alternatively it may have originally been outside the Fade but some sort of warping of the Veil meant that part of the city ended up in it. Really it is hard to know exactly what the Veil is meant to be now, since so many different ideas have been put forward by people in Thedas.
I don't see the city holding together in that case.
Another possibility is that the Golden City was the residual memory in the Fade of what Arlathan once looked like in Thedas, kept that way through the mind of a Dreamer (Solas?), just as we visited what looked like Haven through the actions of Solas. When the Magisters entered the Golden City, it broke the illusion and instead they encountered what was really there and it had been shut away in the Fade deliberately to stop the corruption from spreading. Unfortunately the Magisters breaking in did precisely that; released the corruption on the world, starting with them. There is definitely something strange about the Black City, considering even the most powerful of demons shunned it.
I've had the same idea on that. Perhaps some powerful entity is sealed away there and it maintains the city's shape. There are problems with that though, which I won't get in to. As for the demons, I think it was said somewhere in Origins that they avoid the Black City because they don't understand it, neither the real aspect of it or the taint.
Personally I believe that while Arlathan was the capital of Elvhenan, the Golden City is exactly the kind of construct would be gods would erect; built not only to mark their superiority over the rest of the elvhen population but also to proclaim their sovereignty over the Fade itself. One need only think of Olympus or Asgard to see the parallel.
I would think the Crossroads would suffice for that goal. Besides, the evanuris had their own temples all over, both in the Crossroads and the real world.
It is said that when the Evanuris agreed to the truce proposed by Fen-Harel, they retreated to the heavens. Where else would they go besides their own citadel?
That story is mostly wrong. It wasn't that the evanuris were tricked by Solas, they knew what he was, as evidenced by the book found in the Vir Dirthara. Instead, he cast a spell that caused the Veil to cut off all magic flowing to their various temples. His plan did not depend on the evanuris and Forgotten Ones relocating themselves. Most likely, the evanuris were in their respective temples in the Crossroads, and the Forgotten Ones were naturally just chillin' in the Void. Then Solas cut off the Fade and the eluvians stopped working. Thus trapping the evanuris in their temples.
I believe that is where, once the Veil was formed and Arlathan had fallen, they devised the Blight, to be unleashed on a world now dominated by humans. Thus they seduced the magisters, whispering the means to enter the Fade and open the gates of the City. And while they themselves remained prisoners, sealed behind 'a mirror' according to Cole, they knew the mortals would become infected and carry the disease with them into the world. There were doubtless elluvians connecting the Golden City to Arlathan and that is how the magisters returned.
Then why didn't they leave the city when released? And how does casting Veil magic seal anyone inside a Fade city? Why couldn't the evanuris simply release themselves and then cross through the Veil as the Forbidden Ones have already done?