I think it was said they were Outsider Knights, in service to the Lord of Slowest Terror (summarized by two different scenes in the Raith Deeps, coincidence of location?)
As to the deeper than Mab thing, it's been speculated that the Walkers are Transdimensional like Angels, meaning they're aware of themselves and their existence in all realities simultaneously. Mab, for all her local power, is only aware of her local self, and not all the hers in other realities. She's a single sliver of all of them, but the Walkers are just all of them all the time.
As to the name Walker, probably because they're the ones that walk within reality the most. Other Outsiders aren't individually important, and might come and go with summonings. But the Walkers spend all their time walking within reality, surrounding their opponents before, beside, and behind.