Covenants grant two additional gameplay abilities, one being class-specific. It alters your playstyle. Covenants grant unique armor styles and special capes that look a little more like accessories. Titan-like Kyrian capes look more like angel wings, for example. Each Covenant has a unique campaign similar to those found in Battle for Azeroth and Legion.
The Realm of Shadows may be the same World of Shadows as the one that becomes visible when a [Elixir of Shadows] is consumed. It may also have something to do with shadow magic and shades. Death knights, necromancers, and undead as a whole share a strong connection with the Realm of Shadows from many hints that can be seen in-game. In the death knight starting zone, death knights are given the task to enter the Realm of Shadows in order to gain their Deathcharger. Later on, death knights are eventually able to learn the ability [Raise Ally] which pulls their ally's spirit back from the Realm of the Dead and forces it back into their body. Upon doing so, a buff is applied to the player stating that: "A touch of the spirit realm still lingers..." This shows that death knights and necromancers both have a connection to the Realm of the Shadows/Dead to perform necromancy which furthers the idea that they actually are drawing their magical power from it.
During the Burning Legion's third invasion, the Knights of the Ebon Blade traveled to the Shadowlands to acquire the Aggregates of Anguish, five tormented essences of powerful souls - Admiral Proudmoore, Soulbinder Nyami, Grand Empress Shek'zeer, Grand Apothecary Putress and Archmage Arugal. Salanaar required these to conjure the Steeds of the Damned for the order's new Horsemen.
After being deposed as Warchief of the Horde in Battle for Azeroth, Sylvanas Windrunner travels to Icecrown Citadel in the Scourge-infested wastes of Northrend, and confronts the reigning Lich King, Bolvar Fordragon. Taking the Lich King's Helm of Domination from him, she tears it in two, shattering the veil between realities and opening a portal to the Shadowlands, Azeroth's afterlife. The Shadowlands have become warped in function during recent times. The Maw, a place in the afterlife reserved for the most sinful souls, is now absorbing all souls.
For the first time since the release of World of Warcraft in 2004, Shadowlands will involve a level reduction ("level squish"), with player characters at level 120 (the level cap in Battle for Azeroth) reduced to level 50, with level 60 being the new level cap (as it had been in the original game). In what Blizzard has called a "New Game+ experience", newly-created characters will have an updated starting experience on an island called "Exile's Reach", which will introduce them to the game and its systems. For players new to World of Warcraft, characters who finish the starting experience on Exile's Reach will proceed to Battle for Azeroth content, while veteran players who create new characters can choose the expansion experience they wish to play through to level 50, at which point they would proceed to the Shadowlands.
The Shadowlands were originally intended to be a fully playable zone in World of Warcraft, designed for high-level play. The idea was that as deceased characters made their way back to their corpses, they'd see high-level players battling creeps in the area, which would inspire lower level players to increase their character level so they could experience the zone for themselves.