Thou'rt gone, the abyss of heaven Hath swallowed up thy form; yet, on my heart Deeply hath sunk the lesson thou hast given, And shall not soon depart.
Hey, what happened to our fowl? The "abyss of heaven / hath swallowed" him up, or so says our speaker.
That does not sound like a fun way to go, but there is a bright side. The lesson of the waterfowl (i.e., the realization that there is a spiritual plan and order to the universe) has "sunk" very "deeply" on the speaker's heart, and it's there to stay ("shall not soon depart"). This is the speaker's claim in this stanza.
Think of it like this: the waterfowl is the equivalent of that amazing Calculus teacher you had in high school.
When you went off to college and enrolled in Calculus again (you know, because you loved it so much the first time), you realized that everything he taught you was still very much with you. That's the idea here (although, if Calculus gives you the shivers, feel free to insert whatever subject you like).
Now, about the waterfowl's disappearance… it's figured as an almost-violent death. How else are we to read "the abyss of heaven / Hath swallowed up thy form"?
The speaker has been talking about death for the last few stanzas, so it makes sense that he continues to do so here. In this stanza, the implication is that the waterfowl has to metaphorically die so the speaker can test his faith in its absence.
Put another way, the speaker has to detach himself from the waterfowl and start thinking about his own life. The time has come to take whatever lesson he has learned by watching the waterfowl and apply it to his own circumstances.
Let's see just how he plans on going about that...