The dazzling explosion of light that emerged from Envy was only meant to allow Shadow to have time to open a portal to teleport to another place. When Shadow manages to use his teleportation, their destination is Hell of Darkness. That place is a suitable place that is supposedly very hidden because no one can know where the location of that place is including the Angels who are currently indirectly controlling almost everything in Theheron.
Shadow decides to hide in Hell of Darkness because he doesn't want any interference from third parties. According to him, there are still things he needs to finish quickly, and what Shadow means is Randolph and the troubles that are coming his way
"Is it okay to bring the three of them here?" Envy said to Shadow.
"I guess it doesn't matter. After all, they personally know who Shadow really is and also the identity of Randolph," replied the man wearing a cat mask whose identity is still mysterious.
