A German movie site has taken the original story revealed by the Japanese magazine - Eiga Hiho from their interview with Lundgren and added more details to it: Schwarzenegger will only appear in the opening scene where he's rescued in Burma by the EX team, it could be an homage to "Missing in Action". The scene at the airport that also involves Norris & Willis is where he escapes after having been rescued (Blog note: it was originally speculated that the scene at the airport would be the final battle and the closing scene). Willis then sends the EX team to a new mission, probably against Van Damme.
The original story which was in Japanese was retrieved and translated by our group and can be found here.
I should also add that the German site gives Moviehole as their point of reference. If they indeed used the story reported by Moiviehole, after some research, it turned out that Moviehole themselves reported the story from a Japanese fan site called The Legend of Chuck Norris, who had found out about Lundgren's interview and posted it on their website, then it was taken and widely spread by Global Arnold through different Western fan sites. So I tend to conclude that the German site could be using the same story and adding their own interpretation to it.
On the other hand there was no record of Van Damme in the photos that were shot at the airport, so the assumption of Schwarzenegger being only in the opening scene and not fighting beside the EX team against Van Damme at the end might be correct.