Board Thread:Lore Discussion/@comment-24.28.166.230-20140201123431/@comment-24.56.242.42-20170119044158

At least some undead do. Dead thralls say "thank you" upon death. The reason they don't just leave or rebel is because their will is bound to their summoner. Also, Meridia states that the necromancer in her temple is controlling souls lost in the wake of the war, implying that shades do in fact retain the soul they had in life.