I would tweak this to assume they are splinters of Odium. We do know Odium has been wounded and lost a chunk of himself somewhere, likely Threnody. There also was a WoB where Brandon said we have seen a Shard purposefully leave splinters. I suspect this is what might be going on on Threnody, along with the similarity between the red eyes of the Odium-influenced Parshendi and the red eyes of the shades.