I don't think the fallen lose there souls. In the gameplay you see something that looks like a soul escaping when the player headshots a fallen, but I don't think it's a soul, I think it's a gas of some sort due to them wearing gas masks and it only happens when they get killed by a headshot. Remember bungie said something about souls when you kill VEX not FALLEN. ^~^
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"Be sure to send their souls screaming into the black." -Bungie that just about proves they are souls.
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Mother of gawd... O.o
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Pretty sure the escaping souls were supposed to be the Hive. It is clear in the green portion of OP's pic that the soul is escaping the Hive, and they even said it at GDC.
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At first the decompression theory is exactly what I was thinking too. I don't mean to be rude but did you read the quote by Lorraine McLees? Also it's the [i]sound[/i] the Vex make when you kill them correctly, again I think you're talking about the quote from Chris Barrett during [url=http://www.youtube.com/watch?v=ZiDbv7nftM8]GDC[/url] at 32:17.
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At GDC they talked about this. I think it was Staten who said that he was thinking it was gas. But, if I remember correctly, it is there souls. I am subject to being wrong.
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Only time will tell ;~;