Well, what Xie Lian was saying about the ghosts in his world was technically true of the shades in Zagreus's world as well. As for reincarnation, the concept of rebirth wasn't foreign to him, though it was primarily gods who'd be reborn.

"Every living thing that dies ends up in the Underworld, one way or another. Our Underworld exists to keep the dead from disturbing the living - and vice versa, really. No living mortal is allowed in, no dead mortal is allowed out. Even among the gods there aren't many exceptions. But your gods don't oversee the dead in your world? It sounds like the dead are free to stir up trouble as they please there."