Jet Divine Breaths are tho only pieces of a shard where it is unproven that they are self aware. personally I think that the bond between a Returned and Divine Breath is like a (imperfect hence the breath once a week)Nahel bond only the other way around. It would explain the memory loss and the possibility to rememmber fragments of thre former lives. And when the bond is Broken (giving ons life for another) both participants die (or arerelesed).
Kelsier did take up Preservation however he felt resitence at first as he tried to take it up and the connection was uncomplite way weeker than Vins later on so it wich leads me to think that it depends on the Shard and Shardholder if the shard kan be taken up.