I don't know if they're aliens or not, they might be, but I don't think they came from any other planet, just a different plane of the one we know. I totally understand how people can be frightened of them, especially if the communication isn't coming across clearly, most of the ones here are small though, Kitten's only about two feet long, Toto, my mom's, he's only about the size of a grapefruit, some of the others get bigger, even the Elders are only about horse-sized though, but it isn't often that there'll be a full grown one on this side of things.
I don't know any of the other Heralds personally, but the islanders keep a log of all of them, the last one was about five years ago, a little old man who's fishing boat got blown wildly off-course. His Shadow was mostly frog-shaped from what I can tell.