I was initially under the impression that whenever the characters referred to the shadows as 'Them', they meant a shadow force unseen to the Player Characters and the players themselves. However, I also came up with the theory that 'Them' could just refer to us, the player-base and the team of developers who work on Don't Starve and DST. We, as players, have an immense amount of control over what we do in the world that the characters inhabit, and we can also introduce new characters and mods whenever we please. We see the characters and we can decide what happens to them in a world that we craft and generate for them.
Whenever a game of Don't Starve is started, we can decide how we want the world to be shaped. We can make it easier for the characters to survive in a playground that we had a part in creating in, and we can also make it impossibly hard for them to survive. I'd argue that there are parts of the player-base that are amused when the characters are killed off in a manner that they would like to see them die in. When I saw the EXP Bar that is filled whenever the world is changed or when the player character dies, I'd argue that it is a reflection of how we would like to play with something new. We treat the characters as nothing more than playthings and when one character has lived long enough, we decide to introduce a new character because the old character has started to bore us. We desire a new plaything and we would like to see how a new character would react to the world around them. Webber is still a character I can't explain, though. I also find it strange that Maxwell is one of the few characters to sometimes break the fourth wall through their dialogue.
The devs also decide what new challenges and monsters the characters can get introduced into the world. They also decided when the characters could enter the caves, when they visit the Ruins, and when the new seasons were introduced, when they brought about new challenges associated with them. You could say that they're somewhat akin to Gods in the world that they have created, seeing as how they can introduce new mobs whenever they see fit. Players can also do this, though through the use of modding.
In DST, one of the games' associated puzzles was the Cyclum puzzles. In it, a panel is shown where Wolfgang, Wes, and Wendy are shown walking out of the recently created portal. Perhaps this could be referring to how there are many players who play Don't Starve, and that there are multiple versions of the Constant, referring to save files and characters that we decide to play with in the save file in the original game? I'd also argue that as players, we are beings not yet known to the characters, and we can always keep an eye on them, but they can never see or refer to us directly. We also decide if a character is allowed to co-exist with multiple version of themselves without the fabric of the reality that the devs have created tearing itself apart like a cheap dishrag.
Were there other threads that might have theorized the same thing? I wasn't able to find any. I'd love to read your thoughts to this. It was something I came up with when I was bored.