The Val'kyr ferry Vrykul souls from the Shadowlands to those planes. Odyn traded one of his eyes to a shadowy being (likely the Jailer) to be able to see into the Shadowlands, and made the Val'kyr. Helya was the first Val'kyr, and created both pocket dimensions (Halls of Valor and Helheim).
So, it's just another dimension that certain souls are ferried off to.
- - - Updated - - -
He actually did try to take Tyrathan Khort's soul in the Vol'jin novel. He also promised that he would be back to get his soul someday. In BfA, he also alluded to knowing where Cairne's soul wound up, implying he may have it.