Aight. Since Miro has come out with his theory on Shadow, I will also share mine. Though I don't have screenshots to back me up. And I'm not saying he's wrong, he could be right. This is just a theory that I've had for awhile.

I've held the theory for a long time that Shadow is actually a very weak form of Melkor. I was one of the first that Shadow appeared to. It was while Fire Nation was still going strong, he was surprised that Ancalagon was still alive and he kept asking me the whereabouts of Pythas. I told him he was in hiding and he seemed rather disgusted by that. After all, Pythas had been his cowardly servant in the past. He hid from the battle in which Melkor was captured and thrown into the void.

Why did Shadow kill Melody? Revenge. Pythas wouldn't kill his own wife, she meant too much to him. He had grown weak and emotional in his last few weeks before his vanquishment. Perhaps Melkor killed Melody as a repeat of when he sent Raegon to kill her to get Pythas to return to serving him. Kill Melody, Pythas goes into a great rage and does more evil for him! Sadly, Pythas didn't do more evil for Melkor. Instead it cemented his decision to help vanquish the ugly worm.

Melkor was a man of great evil. Its possible he took on some of Pythas's forms to fool people or because he thought it would be safer to disguise himself as Pythas. Or perhaps he thought he could return and pretend to be Pythas and get all of the draconians to follow him immediately.

Do I think Pythas is really gone forever? I'm going to say probably not. Even if he doesn't return, he will forever be in our hearts.

Even if Shadow isn't Melkor, I do think that Melkor is likely to rise again. There are indeed great things going on.

This is a good theory. Vanquishment really is the end.