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The party's first hint at the Shadow Lord's existence was on a scrap of paper that they recovered from Lady Scarlet's place.

Later, Helga was told by the Oracle of Ida: “The Black Lotus is not the top. Kill the puppetmaster, not the puppet.” This was likely also in regards to the Shadow Lord (21).

Enial also told the Party about this being, who was the true power behind the Black Lotus, and was so powerful that he had killed a god in the past (27).

We also have this document (well, someone in the Party does, probably Enial), which makes mention of the rogue Astral Deva, Nuriel, who we delivered the letter to in Ysgard (The Hall of the Valiant).

The Party have found three altars with what seems to be the symbol of the Shadow Lord on it (the same one as shown in the documents from Lady Scarlet's place, above) - the first in the Automata Underground, the second in the abandoned manor in Sylvania, and the third in the camp of the Blades of Hel in the Gray Waste (see the story so far, 32).