Seeing as the shroud gods are tied to ethics, and give you more benefits if you are those ethics. If new gods are added, it should probably be for those four ethics without one (pacifist, egalitarian, xenophobe, spiritualist)
Personally, I'd be more down for two covenant-paths unrelated to any soul-eating gods of evil; one focused around the chosen one, and one focused around not forming a covenant and having your people learn to master the shroud on their own.
The former would be a path based around the chosen one, turning them into a truly powerful being to rival the gods themselves, unlocking new bonuses that are focused around the chosen one. Very powerful stuff, unless they happen to die of course and all of that time ends up being wasted.
The second would be more open-ended, with random events letting you determine your people's destiny on their own. You will carefully have to choose between different bonuses and drawbacks, thematically themed based off both your ethics and whether your people choose to venture into the shroud as individuals or as a collective, maybe even giving you the opportunity to turn into a psychic hive-mind if you so choose.