Yeah, Tseng IS in this movie. I think he talked at the beginning in the mountains at the helicoptor scene, and yes, it was him who helped save Rufus along with Elena.
Me, I thought that he died at the temple also. Still, we never actually see him dying, and I don't think that anybody said that he died (although it has been a long time since I played the game). Somebody could've just easily picked him up when Cloud's group proceeded into the temple.