"All of creation cares not whether you live or die."
Shadow Realm is a realm seen by Demons and entities with higher sentience.
It is a part of the regular realm, though hidden and available only to few beings. There are some creatures, demons for instance, such as Shadow Lurkers, that dwell in this realm and can't be seen unless in this domain. It is here where the Destroyer hid the seven Armageddon Blade Shards.
War visits this realm on several occasions. In order to progress further in his quest he needs to free the Tormented Gates by doing two sets of Shadow Challenges. Much later, as he comes to an end of his journey Archangel Azrael grants him the Mask of Shadows so that War gains the ability to visit Shadow Realm at will.