So, lets use a real world example quick. In the real world, cultures across the globe and across time follow systems of faith in the afterlife, and many of them form the structure of their culture and society around those beliefs, in how they operate in life determines what happens to them when they die. Some even go to extremes in this with sometimes violent methods all just to obtain some form of salvation after they die.
Obviously anyone who doesn't believe in any of this is a separate matter, its just the example of what we see in the real world.
Now in a fantasy world like warcraft, with actual magic and demons and many mythical concepts, the afterlife is as much a real thing as the magic our characters use to fight one another with.
Throughout warcrafts lore, we've seen many races who follow their own separate belief systems, many who believe in what becomes of them once they die. Orcs seem to have a belief in dying in glorious battle means they get to see their brethren in the afterlife, and only dying with honor will achieve this.
Tauren and night elves believes in a similar thing of spiritual entities like the earthmother or elune will lead them into a peaceful afterlife.
Draenei and humans believe in the light being thing that will guide them, more so humans because draenei live so long the concept of death is few and far between them natural order outside of battle.
Trolls follow the spiritualism of perhaps loas being the guides into the afterlife.
But yeah point is, many races hold some form of belief within their races cultures into what becomes of them when they die, and given how spirits exist in wow as entities, they have no reason to doubt an afterlife did infact exist and was waiting for them when they die.
Now going into the shadowlands lore, its obvious from the onset, the planes that exist in the shadowlands are not quite the ones many races on azeroth have thought of when they think of their afterlife. Most of these are new concepts thought up by blizzard recently, mostly to make sure people have interest in something new as a way to keep players invested in the game.
But, as many of the details have come out, its obvious there are just about no concepts that go in line with our playable races versions of afterlife. Someone might argue the excuse that because the shadowlands is meant to have countless planes of existence, that they are out there, blizzard just didn't include them. Personally I don't think this kind of issue will ever be addressed in this expansion or anytime after, and we're suppose to just accept this as the norm when it comes to a spiritual afterlife.
Given this though, shouldn't the discovery that many of the races belief systems in how they believed what their afterlife would be like to be false, shouldn't this in itself screw up the very foundation of many races beliefs? Imagine in the real world, if there was an afterlife, christians and muslims and hindus all died, and came before the flying spaghetti monster, but they were allowed a second chance at life, wouldn't this mess up everything they held to belief?
It just feels like blizzard in their attempts again at trying to make something 'cool' are just happy to forgo anything they created previously without much care.