*First Of All: It says here. Of course, the users would argue, that was in alternative timeline, that has never happened, because Cameron has restored the timeline. But Cameron did restore the timeline from 1939, not as a whole. Because Anubis was likely ascended somewhere between Ancient Egypt.
*Second Of All:
Ba'al said: Teal'c… I will always regret that you never became my First Prime. (looking around) And uh, where is my dear Qetesh?
As Daniel got surprised and said "Well, Vala was here" and Teal'c did also disappear.
As Ba'al started smiling and said "Huh. Interesting." Because he knew, what was happening, as he was explaining very vaguely about the special plans for Earth (Meaning by, the Original Ba'al was using Solar observation outpost.)
*Third Of All:
He was called as "the Sovereign" those who refused to bow down to him, faced the consequences of execution like Apophis. While, Anubis would be too powerful to be killed as half ascended Goa'uld, and he will never allow to be conquered by his former underling.
Which means Ba'al had to go back further into the past, when everyone believed Anubis were dead thousands of years and regular Goa'uld. So when Cameron did kill Ba'al in 1939. It was unexpected to Ba'al. You can see his facial expression. As he believed that he had all the time in the world.
While, in the ending, They were still talking if Ba'al was the last one. And you can see Cameron standing next to his grandfather on the picture.