I just came up with a random theory. What if the first shades on Threnody were caused by an experiment gone drastically wrong? Nazh talks of rituals for becoming a “shadow”, which likely means cognitive shadow. The shades are twisted forms of cognitive shadows. What if the first shades were caused by a ritual to become a shadow going very wrong? Ambition’s splintering and some of its power ending up on Threndoy could still be a cause- either it caused the people in charge of the experiment to try and improve/do something that was too far out of their reach, or some Investiture got mixed up in the ritual messing things up. Another possibility is that Ambition corrupted the people who were already cognitive shadows, turning them into shades. The Deepest Ones could be those in charge of the experiment or process of turning people into shadows. Sorry if this theory has already been said!
*prepares for theory to be ripped to shreds like all of the others*