I guess it's more of a figure of speech. I said that because I'm positive that I haven't read every work of Tolkein that relates to the topic, so I didn't want to bar the possibility that he hadn't mentioned the Witch King's death somewhere.
The shade thing does make more sense, though. Since Sauron's power was undone, the power of the wraiths was too. Thanks for clearing that up.
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"What mortal feels not awe/Nor trembles at our name,
Hearing our fate-appointed power sublime/Fixed by the eternal law.
For old our office, and our fame,"
-Aeschylus, Song of the Furies
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