After diving into the deepest depths of the Abyss of Time, S.E.E.S. encounters one of the reasons time keeps looping. As darker version of the Protagonist emerges from a dark mist, Metis explains the shadow before them is an amalgamation of all their regrets given form. In order to move forward, it must be defeated. During battle, the shadow is able to use stronger versions of the current party's personas.
Upon its defeat, the shadow decomposes in a gruesome fashion.
In Persona 3 Reload, upon the shadow's defeat, it disappears into a blue mist instead of decomposing like it did in Persona 3 FES.
Trivia
In Persona 3 FES Official Perfect Guide, the skill Goddess' Knowledge (女神の心得) is listed as one of ???'s skills. It is a boss exclusive passive skill that doubles Slash, Bash and Pierce damage. Although it is listed as one of his skills, Goddess' Knowledge is not a skill in the final game. It is possible it was a skill that was later removed and the Official Perfect Guide was not updated before printing.