Jordan once revealed that the DO has more power closer to SG. It could well mean that the farther from SG, the harder it is for the DO to become aware one of his followers died, and to secure a soul in time. Ishamael before he died he called the DO's attention on him, and beside that he didn't get balefired.

So the theory is that when Asmodean surprised Graendal behind that door, she had no idea if he came upon her by chance or if this was an attack. She had a split second to make a call about this and took no chance, she used the weave he couldn't counter (balefire). She wove it weak, because she feared attracting attention. She then travelled away immediately.

As we know, a small amount of balefire doesn't eliminate Shai'tan's window of opportunity to seize a soul, but that window becomes really short, I think that Caemlyn's too far in the Pattern from SG, and that Shai'tan became aware of Asmodean's death too late, and didn't manage to extend his will so far from SG all the way to Caemlyn in time to seize the soul.

Had the window of opportunity been the normal length (ie: no balefire), he would have had the time. Had this happened closer to SG, he would have had enough time. The combination of the two factors made him fail to seize the soul that time.

Personally, I never thought that clue was very important. I always thought it was just a very convoluted way to reveal that Asmodean had been balefired, which narrowed down the suspects to the few characters who knew balefire at the time. ... except RJ knew that by phrasing it this way, it would launch massive debates about the murder all over again, which he had come to enjoy a lot.