I emailed Avery Alder, the designer of The Quiet Year and they were very helpful in answering this:
The Frost Shepherds are left as an ominous unknown for a lot of
The first reason is that the game is supposed to be entirely focused
on the process and progress of a single year, and defining the Frost
Shepherds would shift the focus in a lot of ways: encouraging players
to plan defenses, solve problems that don't exist yet, and so on. The
second reason is that the Frost Shepherds are an empty form that is
given particular meaning by the session played. It might just be an
anthropomorphized way of saying "frost arrives and kills our crops" or
it might be a way of saying "the aliens who's arrival has been fortold
in prophecy finally descend from the heavens." It might mean something
different entirely - the game invites players into foreshadowing and
emergently discovering what the Frost Shepherds might be.
Finally, the Frost Shepherds arriving is an anti-climax, a way of
saying, "and that is all that remains of their history." It's abrupt
and harshly minimal on purpose, for aesthetic reasons.