If you look in the coding in rpgmaker you'll find that alot of the shadow men are actually labelled as the phantom slasher. True this may be a trick by Lun to lead us on.
Its equally as possible that Rhue does have a split personality as Rhue and the Phantom Slasher. The phantom slasher could still be looking after rhue, just as you said gauis was, but it only happens when rhue shifts personality. This could explain scenes when they are seen together as another psychological phenomenon, but it could also prove that rhue doesn't share his mind with anyone.