We've talked about this before and I still think that'd have been a great way to do it and both add the mystery and not require everything to be lathered in layers of explanation. Have the only bit of the Shadowlands full through be Torghast in the broken sky over Icecrown, with the other realms bleeding over in parts of Azeroth, fucking with the area they'd merge with. Emphasize how unnatural breaking the Veil actually is and instead of going full outlandsih, allow the outlandish elements to stand out even more in more familiar settings. Hell, you can still do Revendreth, overlay it over Gilneas or a part of Kul Tiras or what have you.
On a separate note, the bit about the constructs in the Maw is confirmed. They're melted down souls, with the armor shaped from those who didn't make the cut while the most broken souls get put inside as footsoldiers. The Maw in general suffers the most from the absolutely schizophrenic tone and how abstract it is. Replace the blue faceless ghost with familiar characters who can actually bleed and with backstories, show us the conveyor belt of the factory for someone we know being turned into one of those copy-paste robots with a vista of this being repeated and suddenly this depersonalized damnation is concrete and threatening. The idea and the aesthetic aren't bad, but instead of anchoring it in the world they decided to try and anchor it with characters, to its own detriment. They should've ditched the faction leaders and had the actual worlds overlap.