Souls

Anything that has ever lived has a soul. A soul is the entire essence of one's being. When something dies, the soul leaves the corpse and travels to a spiritual plane. Once there, the soul has the choice to reincarnate, stay in the afterlife, or to escape and haunt the mortal plane. If you reincarnate, you will forget everything about their past life. However, there's been cases where the reincarnated have memories of their past.

Demons

If you end up in the Underworld, you probably did something wrong. It's almost impossible to escape from the Underworld. So most people just reincarnate into a demon. The strength of someone's of souls determines the power of their demonic form. Some chose to stay as a soul to keep their memories but is incredibly dangerous.
To demons, souls are power. When a demon eats a soul, it gains power. This power boost depends on the strength of the soul. Until the demon dies, the soul is trapped inside the demon. A demon can easily get addicted to eating souls. The feeling of euphoria is too much for an average demon. Soon or later a demon will have control over themselves. When a demon eats a soul for the first time, it will go on a berserker rampage until it is either killed, stopped, or they tire themselves out.

Celestials

If you end up in heaven, you probably weren't a complete and utter piece of shit. For a soul, heaven is the safest place to be. The residents of heaven offer education to souls or help them reincarnate. Staying in heaven can lead to the soul to manifest a body of their own. Which they use to gain strength.

Humans

If you're stuck in the mortal plane, you either be a lost soul or stubborn. Some humans become mediums to guide lost souls back to the afterlife, or they banish the ones who don't want to leave. Others trap souls and use them for experiments or currency.

Manifestation

The color and how powerful the soul is a case by case basis. Some people are able to manifest their soul to empower themselves.

Localization

Everything living being is born with a soul. So naturally, souls would all other the place. Souls also turn up in the Underworld and Vicus. However, it's rare because of the fact they either reincarnate or get eaten.

While inside a demon the soul is dormant. It could be awakened by the demon, but the soul can only communicate with the demon. The demon is capable of looking into the memories of the souls it has eaten.