The Heralds were already kind of messed up by the torture they'd already suffered when they walked out I think. Also, being alone for thousands of years with nobody they could really talk to can't have been good for their sanity.
As for the Nightwatcher being a Herald, my gut feeling is no, but then Brandon did say the Heralds are very powerful, and we don't know how powerful that might make them. So we don't really have enough information.