Both of you are right, and both of you are wrong. It's been a while since I've read Secret History, so some of my details are wonky, but Kel ran into the well and got invested there enough to resist the call of the beyond. This is when he became a Cog shadow (Excluding the split second that happens when you die). Because he is now heavily invested (Just like Shallan), he can't leave the Scadrial sub-astral, just as Kelek can't leave the Roshar system. We actually don't know if a living sliver can leave their system of origin, as the only mortal sliver who was around for long enough to try, the lord ruler, never did.