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I do not beleive the Undead have a soul, at least a full one. Necromancy only controls the body, not the soul. If they still had their souls they'd be something akin to a wight. Undead are bodies guided on by the will of the necromancer/vampire.
I think you'd be right. Rank and file undead (skeletons, zombies) would not have whatever we define as a soul. As you said, they're puppets of the Vampire/Necromancer controlling them.
Wights on the other hand... I'm not even sure if they have souls. Yes, they're charged with a bit of extra dark magic, making them that much more powerful, but I'm still not sure they have a soul.
For that matter, do Vampires even have souls? Some things I've read seem to imply the person loses their soul when they're turned.
So maybe nothing in the army has a soul...?
No, I don't have any wool.
Okay, this question will be answered in a NON-GW way, because it is a non-gw question. GW doesn't concern itself with theological questions like the presence of a soul. There is no concrete mention of such a concept in any of the fluff, and certainly to correlation between the soul and the afterlife. So as far as WHFB is concerned, it doesn't matter if they have souls or not. So, from the point of view of many western writers, here is the evolution of the vampire:
v1- the Vampyre: Vampyres were orignally thought to be akin to the ghouls of WHFB. They were the remains of those who comitted particular mortal sins (typically suicides- hence the idea of 'cutting off the head' to prevent reanimation). They could be killed by any mortal means, not silver or stakes or any hocus pocus. They were thought to have been re-animated by the devil (meaning that they would have had souls which departed for the afterlife) to wreak havoc on mankind. They could of course be repelled by crucifixes and holy water, as this drives off all diabolic enemies of the church.
v1.5- the Eastern Orthodox Vampyre: the greeks believed more heavily in the vampyre myths than other cultures. This has been attributed to several possible things: one suggestion is that these areas were inhabited by pagans who believed in the vampiric. Another suggestion is that for some reason, they suffered higher rates of live burials (one of the main propegators for the original vampyre legends). At any rate, much of what we base our vampire lore upon comes from these areas. They implemented the concept of garlic, much as Celts implemented carved pumpkins on halloween.
They also give us the stories that these creatures return to their graves. They used to exhume bodies shortly after burial, to make sure that all was well. Since there was no embalming technique at the time, fluids would decompose and bubble out and often the mouth would be bloodied. The east completed much of the vampyre lore that we have today- garlic, wafers, wooden stakes, etc. Of course, the causes for the Vampire remained the same, and thus they had a soul but lost it during the turn.
v2- Stoker's 'Dracula': Stoker- an Irishman- collected and wrote down many of the eastern stories. He added the tale of Vlad von Dracul, a particularly bloodthirsty Romanian nobleman who likely suffered Post Traumatic Stress Syndrome from driving off the invading Turks. He was and is a Romanian hero, likened unto a more modern Charlemagne. However, Stoker villainized him greatly, and gave us the modern, gothic/romantic vampire. There were other contemporaries of Stoker. All of them agreed that the old methods from the East held true, but the concept of mortal sin was removed. Instead, theories began circulating that a Vampire could transmit his curse, and therefore, the Vampires were all progeny of a single man who had sold his immortal soul to Satan in return for an immortal body. The motives for this trade all vary, but the common are that he was power hungry, or that he was drawn to the pleasures available to the flesh, or that he was afraid to die.
Stoker finished off what we know as a 'true vampire'. The grave, Van Helsing, the ability to turn to a wolf or bat (along with the little-known ability to scale walls like a lizard), and the romantic, semi-sexual nature of the act of turning a mortal to a vampire.
v3- Stoker's tale held true up until the new cultural revolution. Once anti-heroes like Bonnie and Clyde, Al Capone, and Scarface became popular, vampires became the ultimate tragic hero. Even more, when the "Goth" sub culture became popular, Vampires became less scary and more romantic. Now we are permeated with vampires who woo young women, kill other more traditional vampires, who turn people to spare them from chronic disease, view their curse as an affliction, embrace christianity, and actually give a shyte about mortal happenings. These vampires often still have a soul, and are considered to be in some kind of limbo, often born of vampiric parents, or turned unwillingly.
What does this mean for a GW player? It means that you get to pick what kind of Vampire you want. The Strigoi and Mannfred von Carstien are what I classify as v1.5 Vampires. They are still a little cracked, half crazy, and blood-frenzied. The other Von Carstiens and the Lahmians are your v2 vampires- capable of loyalty to their own, and in Vlad's case, a mate. The Red Duke of Aquataine, and the founder of the Blood Dragon line are both classed as v3s. They want freedom from their curse, they regret their turning, they were duped into their demise and are resentful.
As to the concept of other units having souls:
-ghouls are alive, and therfore have souls
-zombies, skeletons, etc. are just reanimated bones. Their souls, good or evil, have passed on and their remains are no more than machines.
-banshees are souls, they are the ghosts of scorned women
- wights have souls, they are living men who've used magic to bind their souls to their bodies that they may never die. However, when the body is gone, the soul remains bound to whatever form it can take, therefore making the wights truly souls. Unlike banshees or spirit hosts, who are the remains of the dead held in limbo, wights have never truly died.
Well, in Vampireslayer ( Gotrek & Felix) there is a character that gets turned- and they defiently seem to have a soul afterwards- also an intense loathing for what they've become, yet also the beginnings of the feral mindset that all vampires slowly manifest. Also- Vlad & Isabella are deeply in love ( magically or otherwise) so doesn't love suggest a soul as well?
I think that in vampires there is a distinct lack of a soul. I am pretty sure that I read somewhere in the WHFB literature that even those vampires that are recently turned that retain some human compassions will inevitably develop the typical vampire views. I.E. mortals are mere cattle to be ruled or destroyed, the lust for power, etc.
So I think that the recently turned vampires acting all nice doesn't mean they have a soul still, I think it just means that they haven't yet rid themselves of their mortal personalities, but that in the end it will happen.
"I am the architect of fate!"
At no time did I ever say that a vampire has/doesn't have a soul. I only pointed out the evolution of the vampire over time. However, like Demandred said, it takes a strong individual not to fall prey to the typical archetype vampire. Think in these turns:
You are immortal, nothing can kill you
You have amassed wealth an knowlege over hundreds of years
You are possibly one of the most seductive creatures in existence, able to entrance at will
Everything 'down south' is still working just fine
You never age, you will look like you're 26 every day of your life
Your very existence is illegal, you have no reason to follow any other law at all
People worship and fear you as a god
You may be able to raise the dead to your service, depending on who's book you're in
You can change form at will to avoid detection
You will outlive any of your love interests, if indeed you can love
Now- would you really stick around and abide by laws and morals for the rest of time immemorial? Or would you take advantage of your prodigious powers and get what you could out of life? Seriously, what do you want most in life? Unless it's everlasting love, a vampire can get whatever they want immediately, or over the centuries.