A shade seems to be a remnant of a deceased person. They are kept in Dis or Limbo, and it is up to both Demons and Angels to make sure they stay there. Shades seem to be able to posess knowledge that they did not have in life, but are not able to communicate clearly, their most clear form of communication being through dreams. The one shade seen thus far appears as a cloaked figure.
Example: Michael Jocasta (when deceased)