In that they're left behind when we defeat them & we can't normally see souls outside the shadowlands, unless there's necromancy involved
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Because red?
We don't need further explaination. We killed a titan, they went to the Shadowlands: That's never happened before. It's like throwing a wrench into a wheat thresher, the machine of death is gonna break. Apparently this was all part of their plan but that doesn't necessarily mean they needed to intervene further.
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How did Ner'zhul or Arthas reject him? Ner'zhul worked for Zovaal up until 9.1 when we kill him in the raid. Same with Arthas in ICC.