It was described as the part of Erebus where Agares dwelt in the Godswar. I believe that it is a part of Creation and not of Hell, but it has been controlled by demons for so long it might as well be in hell itself. It probably contains some passage into hell, similar to the one that Rathaus used to go into the Netherworld.
Actually now that I think of it, perhaps the Fane of the Lessors is an equivalent to the Shadowed Vale, as a sort of gateway plane connecting two larger planes. Of course, in this case it links Creation and Hell instead of Creation and the Underworld. Just like the Sun when channeled by Auric Ulvin was able to break through the barrier and cause the Shadowed Vale to merge with Creation, a victory in the Lord of the Balors will cause the Fane to rejoin the rest of Erebus..