some people actually buy them for quite alot of gold just for a "why not" item
Back when I was doing heroic ping pong boss in DS, this mage started flipping out blaming this "ghost" was hitting orb back before it reached the group (it was really just mage not stacking properly) but I laughed and didn't say anything because no one else was seeing the "ghost" but I knew exactly what he was refering too.
While this is true, to say that they have nothing to do with Arthas isn't entirely true.
Shades, coming from Warcraft 3, are spies/observer units for the Undead. To have one following you, keeping its eye on you, means the Scourge took special interest in you.
As a potential victim, or a resource, or both.
Looking marvelous in velvet.