Not all the heathen will be killed by the 2nd coming:

Zech 14:16, 18
And it shall come to pass, that every one that is LEFT
of all the nations which came against Jerusalem shall
even go up from year to year to worship the King, the
LORD of hosts, and to keep the feast of tabernacles...
And if the family of Egypt go not up, and come not, that
have no rain; there shall be the plague, wherewith the
LORD will smite the heathen that come not up to keep
the feast of tabernacles.

We will rule over them in the millenium:

Rev 2:26-29
And he that overcometh, and keepeth my works unto the end,
to him will I give power over the nations: And he shall
rule them with a rod of iron; as the vessels of a potter
shall they be broken to shivers: even as I received of my
Father... He that hath an ear, let him hear what the Spirit
saith unto the churches.

Rev 5:10
We shall reign on the earth.

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The Mt 25:31-46 judgment is the white throne judgment
of all people, after the millenium (Rev 20:11-15).
Right before this, in Mt 25:19-30, we see the judgment
of the saints at the second coming.

We know the Mt 25:31-46 judgment is the white
throne judgment because Jesus refers to the throne
(v. 31) and to the "everlasting" punishment of the
lake of fire (v. 41, Rev. 20:15).

Also, to have the Mt 25:31-46 judgment before the
millenium would contradict the pre-trib idea of the
"sheep" having children, for at the Mt 25:31-46 judgment
the saved enter into "eternal life" (v.46), and so they
must be in their immortal bodies, which do not procreate
(Mt 22:30 -- here the Greek for "not given in marriage"
can be literally read as "without wombs").

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