I've noticed there's some correlation between the Shroud, nightmares, and Midnight essence. They're that inky black that doesn't quite reflect light, they have that smoky residue, and they're really weird. Could the Shroud be made out of Midnight Essence, or are they both made out of the same thing?
The Shroud and the nightmares are basically made out of souls without the soul part. Soul waste. Midnight aether from Tress might have something to do with spiritual stuff
(Also Aether of Night probably can't be counted here but I want to note that night aether is described with the same black smoke stuff)