Miller took the boxes when she held them out. Megaera had just revealed a bit more about how a Fury dealt with mortals; he didn't feel like pushing and finding out what that looked like in practice. Sometimes, discretion was the thing that got you home at the end of the day, alive and with all your limbs intact.
"Ray - my partner - he says there's, like, a residue to all life. Energy and such. Ghosts have it, people have it... Why not shadows, you know? I realize that sounds insane," Miller admitted, "but this is Night Vale, where shadows clearly ain't just light being blocked by an obstacle. Said it yourself, this place is odd. Only I got no way of seeing stuff that's odd." That was where Megaera could potentially come in. Her eyes were ancient. If she could see dead people - and herd them, and keep them in line - why not one measly, errant shadow?