The Cloud of Darkness was mentioned, but hasn't shown up. If distances in the Void are like distances on the Source, she'd be a quarter of the way around the world, and voidsent aren't really known to cooperate freely, so it's not like anyone's gonna go gossip with her about it.

Cyella and Unukalhai are locked behind optional content, so of course they're not gonna be mentioned in the main story. If you go talk to them on the First, they do get some new dialogue.

Mhach, the Void Ark, and Dun Scaith are all on the Source (and also only touched upon in optional content); and, like the above pair, are only in optional content. They're also not really "loose threads", since that story was finished back in Heavensward, so they're not especially relevant anymore.