Shadowlands have been mentioned off and on over the years, though not in great detail. So not out of the blue, though teh vast majority of it is indeed new.
Why not? An actual realm of death, one that can be visited, is one of the most ancient story tropes around, present in countless mythologies. Heroes going to and coming from the land of the dead is a time-honored tradition in stories. Orpheus, Heracles, Gilgamesh, Izanagi, the list goes on.2) it doesn't make any metaphysical sense for death to be a physical realm