What exactly happened to make Shade, Light, and Cold leave their previous clan?
So obviously I didnt answer these questions right away because I knew the comic would answer these questions later on. So sorries for the probably very late reply, but here's the written version since we've not gotten to that point.
Back when Shadestar was a 'paw in BlazeClan, she unexpectedly received a very disturbing dream. She doesn't remember it very well, but there were voices speaking, and the scent of smoke and seasalt. Thinking it might've been from StarClan, Shadepaw approached their medic cat, Duckcry. Duckcry was shocked to hear Shadepaw had such a dream and was immediately brought to Thornstar. In their private meeting, Shadepaw learned that both Duckcry and Thornstar have had the same dream. But while Duckcry urged to heed the warning, Thornstar dismissed it completely. He demanded that neither cats tell anyone about it, even threatening to punish them.
Unable to truly ignore the dream, Shadepaw convinced Lightpaw to follow her. As they snuck out of camp, the only kit born in the season, Coldkit, had followed them out. Shadepaw wasn't able to convince her to go back, and decided to lead the two cats out of BlazeClan territory, towards the sea.
She had always planned to return if she was wrong about the dream. But when she received her nine lives and heard the voices again, she had a feeling that this new arrangement was permanent. And when she saw the dark smoke in the sky, there was no doubt that BlazeClan was destroyed.
She still doesn't know why she received the dream, or why Thornstar denied a warning from StarClan, but she doesn't believe it was StarClan's will to see BlazeClan destroyed. She firmly believes they were trying to warn them.