Here are my thoughts and theory on Souls in the DV ...
Everyone born has a body, a soul, and a spirit.
A body can be destroyed, or killed.
A Spirit is the energy that is used to "animate" the body.
A soul is what is left over when the body's life is over.
So, when someone says that, for instance Mab, has no soul, what they are referring to is her conscience. Her conscience has gone so far into the seeking power area, that she's "lost" her soul.
Looked at from a Christian perspective, when one loses their soul, it means that they are "damned". That when they die, their soul is going to hell.
On the other hand, there are folks like Harry and Molly who's souls aren't completely given over to the dark side, so they are still in "possession" of their soul.
While one lives, their soul can always be "redeemed".
All that being said, Yes, I believe that changlings, and folks like Molly who have changed to Fae, have a soul. However, how far they are into the dark end of the good vs. evil spectrum will help determine if they've "Lost" their souls yet.
So, getting back to Mab, she still has a soul, but at this point it's so dark, that whatever afterlife she believes in, she'll probably be going to the darker portion of it.
On the flip side, depending on what she believes, and which afterlife she chooses (or is chosen for her?) she may go to something like the Elysium fields for doing good work, or Valhalla for being such a great warrior.