Originally Posted by
Gonder
There's a good chance the draenei didn't even really know about the inner workings of the Shadowlands. I'd say they very likely knew about the grey limbo part of it that rests over the material world, which we see in-game when we die, but as for the inner realms themselves, it seems very few mortals really knew about their existence before now. If anything, the vast majority of mortals seemed to have misunderstood the Shadowlands. Chronicle itself described them as "nightmarish realms of decay", which we now know isn't true, save for a few key realms like the Maw and maybe Maldraxxus.
The draenei would have kept their dead in Auchindoun as a means of preserving them and not losing them to the mysterious afterlife, no doubt. They live for a crazy long time, I can only imagine how much it would hurt them to lose loved ones and important figures after thousands of years. Some people might assume they did it to attack the Shadowlands and prevent them from gaining anima or something but I highly doubt it.