Spoilers
But um, I've played for a very long time, and never been able to really kill the shrouded figure, but I might know a little bit of lore, im just gonna say anything weird as part of the lore
1.) if you go into creative mode(/-cm), you gain access to the /kill command, using it on the shrouded figure in the beginning of the game will result in him killing you and saying something like "The gates of Terra remain closed). My guess is that this is already programmed in for survival parts of the game, which means you can attempt to kill him in survival later on, or its just a little Easter egg to show how powerful it, or they are
2.) it seems that as you get more key fragments, the shrouded figure stalks you from a distance more and more.
3.) This is the weirdest one, and I can't really make sense of it, but if you identify the outlaw that the shrouded figure kills at the start of the game, it will ALWAYS be your chosen character, just with a random faction
There are some other things I know but you havent gotten all 10 key fragments yet, so I don't want to spoil