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.
Shadowy Tormentors inhabit this dimension, and emerge from it to torment death knights such as Koltira Deathweaver. The Lich King originally kept them at bay, but after the Knights of the Ebon Blade left his service, the tormentors are now loose upon them. He even appears in the World of the Dead, as he calls it, riding a frost wyrm during  The Power to Destroy.
Furthermore, upon the Lich King's death he even spoke of "Seeing only darkness before him" while Sylvanas Windrunner said the same in Silverpine Forest after being risen from the dead by the Val'kyr. This may hint that because undead, death knights, and necromancers are connected to the Realm of Shadows when they die (again) they actually become apart of the Realm of Shadows and are forced to wanders in its dark mists for the rest of eternity. If this is so, then it can also be implied that when a death knight is given his/her own personal runeblade, the runeblade is actually used to bind the individual to the Realm of Shadows in mind and body, making it impossible to ever be rid of the death knight curse. In Howling Fjord, players are even able to witness the Lich King himself standing within the Realm of Shadows with two Val'kyr. The idea that necromantic magic and death knight runes drawing power from the Realm of Shadows itself is not yet proven, but it is heavily supported by in-game quests and lore.
In the opening cinematic, Sylvanas shatters the Helm of Dominion, breaching the veil between the material realm and the Shadowlands, an ancient dimension where the dead coalesces for judgment. Sylvanas' actions have upset the natural balance between life and death, and it's on players to enter the Shadowlands itself and repair the cycle before it is too late.