Because of the specificity of the shadow creatures to the memories of those who have already entered the Veil, it is possible that these beings are in fact splintered off fragments of the person whose memory they embody. They are seen in locations that resonate with the source of the memory, and for the most part some connections can be drawn between their shape/form and the context they originate from. It is also noteworthy that all the shadow creatures occur only with people who have already been in the Veil before (even those who have died, such as Beechworth)
The giant, restrained creature in the mirrored cave raises more questions as to how exactly the creatures correspond with the flashbacks they create.