Dystopian

There are specific qualities when it comes to an Ethereal Being who has stepped from their world.
First and foremost, they are emotionless until emotions have corrupted their very souls. This is very rarely a situation where a 'switch has been flipped' and suddenly they are loving, caring creatures. No, this happens over years, if not eons, of time. Being corrupted by emotion also does not mean they are represented by a pure soul. If they are surrounded by impure emotions such as greed, lust and envy, these will be absorbed by the Ethereal and they are much more likely to become impure themselves.
A secondary trait that is always present within these creatures are their souls. Think of the endless amount of creatures that never existed. A child that was never born. The endless possibilities of who and what could have been. It is these souls that make up an Ethereal. It is not uncommon for one to be filled with thousands, all fused together in a way to create a singular being. These souls start off completely pure of all emotion and thought, until of course, they are exposed to humanity. It is then that the being begins to represent itself as an individual. With possible disastrous consequences.
Third. Ethereals can escape their realm, for it only takes a few lost souls to eventually form a being. However, a more natural occurrence stems from either them being summoned, or sent out upon a mission. Very rarely are they exiled from their lands. This will usually only happen if a being has been shown to be altered by emotion, thus expelled before they can corrupt others. Regardless, it is those who have been sent out or summoned that have a purpose. This purpose trumps everything and is considered the soul reason one exists. It can be something as simple as eternal Wisdom that drives their souls. Or something much more complex such as Rebirth. In the end, those without purpose are much more susceptible to corruption.
Fourth, certainly not last. Ethereals can be corrupted in many more ways than simple emotion. Demonic energy, for instance, is considered the adverse of ethereal energy. This is, in part, because the demonic plane exists in its own right. While it is nothing as simple as dark versus light, for even demon energy has its own light. Ethereal has its own darkness. Some even say a truly corrupted being may present itself in a way very similar to a demon. Though, through their souls, they are not completely corrupted. There will always be some remnant of light, even if the darkness swallows one up. This, perhaps truly, is what has happened to Vale. But it only amplifies the pain one is under. For what is an eternity fighting for ones own existence? As for other corruption factors, not all have been explored. Vampirism and Lycanthropy seems to be a choice of the individual, though ethereal energy can easily overcome the curse itself. If the souls are unwilling to fight, then one may have a truly interesting character on their hands.
Fifth. Finally. One major point to ethereals is to simply have fun. They are by no means creatures that are restricted to such substantial degrees that one cannot enjoy playing them. While, yes, they have there caveats as all do, enjoyment in the character is truly foremost.