This element is present in other parts of the game(s) as well. Even the way the menu sounds evokes it. The setup of this ephemeral world is what sells one on the multiplayer aspects. Seeing the spirits and echoes of your fellow players is a lot more convincing.
The character creation screen music for both DeS and DS1 conveys a certain otherworldly, dreamlike and calm quality. Though this effect is stronger with the DeS track. This feeling is also present in some of the areas, with Ash Lake and the Nexus coming to mind.