The games happen in parallel universes. There were never supernaturals in the Gilded Shadows universe. All the alternate versions of those characters were probably human in Gilded Shadows-verse. ^_^
The William Lee mentioned in this game is an alternate version of William Lee. He is not a part of the Changeling universe, but exists in a parallel universe where the Gilded Shadows story takes place.
Gilded Shadows is not a supernatural story, no.
It's just an Easter Egg - I wouldn't try to think too deeply about it in terms of what it means for Changeling. ^_^