I have a theory about the death of Jezrien. Earlier in Oathbringer when Shalan is talking to the Sja-anat, she says that they (the Unmade) "were made and then unmade." And it seems odd that the current set of Heralds are Human and not Parch. The Heralds are basically gods, immortals who seem to wield powers. So my theory is that the current Unmade were once Heralds, who were originally dawn singers. Odium's motivation to create new unmade as the current unmade are captured seems to fall in line, and it is very like Sanderson to show us an event that he knows we won't fully comprehend until the next book. I could also speculate that the vision of Dalinar with nine shadows suggests that at some point in the future he will have captured all nine of the Unmade and may use them against his enemies. Odium will want to balance this power so making new Unmade or some kind of weapon or soldier.
(--first post so if I am way off base let me know, I am still a cosmere Noob!)