Sargeras wanted to reforge Gorribal, so naturally, the Burning Legion's many demons searched the worlds for forging materials on his behalf.
This had nothing to do with Roy, but Sargeras's reminder made Roy start thinking about his own weapon.
Frostmourne had been chipped, and Roy had handed it to Diathorus for repairs. Given the Nathrezim's capabilities, Frostmourne would inevitably make its way to the Shadowlands to be restored. Roy did not care where it was repaired. In fact, if he were willing, he could naturally restore Frostmourne to perfect condition by consuming a vast number of souls. He had done this only to complete the time loop. However, it was obvious that Diathorus and the other Dreadlords were deliberately making the sword's repair seem mysterious and secretive. They merely wanted to pique Roy's curiosity and make him investigate the Shadowlands, laying the groundwork for what came next.
Roy's intuition told him that the Shadowlands seemed to want to win him over, because as the Burning Legion's current sole commander, Roy had considerable influence over Sargeras's decisions.
The Burning Legion Sargeras had established was an enormous force, so it was only natural for the Shadowlands to place pieces within it. Moreover, since Sargeras's Burning Crusade was designed to destroy worlds, the plan would invisibly strengthen the Shadowlands.
The Shadowlands was known as the final destination of all souls. Regardless of whether they were good or evil, aside from souls that were seized or devoured, all remaining souls that naturally dissipated would, at the very instant of their dissolution, pass through the barriers of endless planes and arrive in the Shadowlands. The Shadowlands' fundamental energy came from a special energy within souls, a power they called "anima"... In other words, the more souls that reached the Shadowlands, the stronger its energy became!