The people taken by the shadows have Ascended to a Higher Plane of Existence.
At the end of the movie, James sees the silhouettes of Luke, Rosemary, and Paul among the shadow creatures. This means that all the shadow creatures could be the souls of everyone who vanished, and who are just trying to welcome the remainder to their final destination. However, they're going at it in a Jacob's Ladder sort of way, scaring the daylights out of the handful to are afraid to move on for whatever reason.
http://tvtropes.org/pmwiki/pmwiki.php/WMG/VanishingOnSeventhStreet
FollowingWMG / Vanishing on 7th Street
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