Just started Shadowbringer but I have a small question (spoiler)

[Enkidoh]

It's explained when

you meet up with the Crystal Exarch inside the Crystal Tower after arriving in the First and entering the Crystarium - basically the Archons ending up there was just a terrible accident, he hadn't mastered the 'art' of dimensional transportation and was trying to only transport you to the First, but his spell kept backfiring every time he tried it (possibly due to our Echo and Blessing of Light interfering with it) and so it kept latching onto instead "those whose fates are most closely intertwined with our own", which was the Archons and the Levelliuer twins, drawing the Archons' souls to the First.

By the time he successfully 'Calls' us as well, he's finally mastered the technique and is able to do it two-way, hence we're able to return to our body immediately and awaken back in Ishgard at the end of SB's story, and by then using a physical object as a beacon for his spell that he transports to the Source are we then able to travel there properly, in actual corporeal, rather than aetherial form.

But unfortunately the Archons are trapped in the First, they're basically physical spirits, and worse, cannot yet return to the Source. The Exach is striving to find a way to reverse the process and allow them to return but alas sadly, at the moment they're stuck there.

Either way, keep playing, as it will all be revealed in time.