I'm not that worried, but I do hope they keep using the brand awareness that Nokia has for a while. Nokia phones are still seen as durable and high-quality phones, and I'm betting there are thousands of people who want a Nokia just because it's a Nokia, not because of Windows Phone or anything.
What will happen when the Nokia brand completely disappears and the "Nokia Lumia" phones tranform in "Windows Phones", and oblivious people go to the store and ask the staff "I'd like to buy a Nokia"? They'll have to answer with "Nokia doesn't exist anymore, it's Microsoft now. So you'll have to buy a Windows Phone". I think a lot of salespeople will easily change that advice to "Nokia doesn't exist anymore, but the new Samsung Galaxy is very popular! You should buy that one!"
TL;DR: People still go to stores to buy a Nokia. If they find out they're gone, what will keep them from buying an Android or an iPhone?
Yup, exactly. It has already been said several times: people bought Windows Phones because of Nokia, not Nokias because of Windows phone. but lets just hope that the word Lumia is strong enough to drive the sales.