Ok, so this is something I've been thinking about for a while now but it feels like the "souls" of characters in WoW rather closely mirror the three part soul of egyptian mythology.
So for those that don't know in Egyptian mythology the soul is separated into the Ka, the Ba and the Akh.
The Ka is basically your physical representation. It's the part of you that even in death is still hungry and thirsty and has the same various needs. I'd probably equate it to the Ego. The idea of whom we each are.
The Ba is the part of your soul that moves between the material and immaterial world.
The Akh is the divine soul. The eternal part that joins with divinity. This is the part that most of us tend to just simply think of as the Soul.
Which brings us to the Shadowlands and "souls" in WoW.
From all indication souls are either two parted or three parted.
There's the soul part which is the spiritual manifestation of one's ego, but then there's the anima which appears to be the motivational force of life itself and finally there's "the light."
So in the Uther Bastion cinematic we see Arthas strike Uther. Killing him and wounding his soul, in his moment of death we see Uther's soul split into two parts. There's a golden "light" part which disappears behind him and a blue part that is sucked into Frostmourne.
We will certainly have to wait for Shadowlands to see further in, but to all indication the "light" part was Uther's specific connection to the light and life itself which returned to the light upon his passing. Meanwhile the ghostly blue was his "soul" or ego, which once separated from the "light" lost access to the nobility given him as a paladin of the Light. Which - well along with the wound and massive PTSD - would explain not only Uther's obsession with vengeance that he sees as justice as well as how we have gained help before from Uther's ghost in the Plaguelands at his shrine.
So basically in his shrine is his "light" manifest whereas in the Shadowlands is his Ego and the question remaining is whether or not this is a natural occurrence or if it was caused by Frostmourne.