Souls do not immediately and/or automatically move on to Shadowlands, they linger for a while in their home realm. Sometimes a VERY long while, if they are held back in some way.
Additionally you have in Kyrian covenant campaign a quest where you are shown that souls need to be ferried by Kyrian and do not really go automatically to Shadowlands by themselves. There are other entities that can also ferry souls either to Shadowlands or some other place.