The Shadowfell is a plane of existance, a dark inverse of the Feywild.
The Tower of Grey found a mysterious orb/map that revealed images of different planes1. One of these planes was an eerie, subterranean cave2, which the party later suspected to be the Shadowfell. Later, while searching the Feywild in search of the missing Prince Thom Harper, the party learned that the god Pelor had gone missing3, and, while investigating his room, learn that the spell Plane Shift was used, to take someone, or multiple someones, to the Shadowfell4.
The Tower later traveled there in search for Pelor, as well as the missing Adira Harper, suspect in Pelor's disappearance. It was a bleak and desolate place, covered in ash, with little people or being roaming about5. There, they were arrested, and locked up in the prison-city of Grull...