Series authors sometimes write short stories between books. These short stories are usually published in multiple author collections. It’s fun to track the short stories down after reading the entire series or when authors take several years between books. Unless the author’s last name is Rowling, nobody considers the short stories to be a necessary part of the series of novels.
The proper use of a short story explicitly calls out a character as a valkyrie, while the series books made the character’s identity perfectly clear without ever using the word valkyrie. The short story is bonus material.
The misuse of a short story has a major repercussions interaction with banshees in a short story that is hinted at, but never fully explained in the series books. The short story is important to the novels, but left out of them.
If your short story is important, it should be physically included at the beginning or end of a regular book in the series. It’s difficult enough to track down all the books in the series. Don’t make story continuity impossible by hiding part of the series in some other author’s book.