The Fae are not a race, so much as a class of races. All creatures native to Tempest that aren't transplanted from Prindern or Veşti are Fae, and no Fae is originally from anywhere else that we know of. They are, thus, considered strictly Tempest beings, even though some have been transplanted elsewhere through accident or misguided purpose throughout history. Most do not survive long outside the islands, though fauns and shadows seem especially gifted at adapting to other environments. Others, like warlords and birds of paradise, will simply die or vanish the moment they are more than a few hundred yards from their home island.
Like the gods of Veşti and Prindern, the Fae are living concepts rather than animals with magical abilities. Humans and Winter Wisps have power - Fae are power. Specifically, they are manifestations of the magic of Tempest, which is a form of nature magic unlike that produced by human traditions. Where the magical traditions of man treat nature as a system, a series of interconnected rules and laws and deities and events, the magic of the Tempest assumes nature as chaos and fury, birth and death, the dancing flame and the steady tides. And so are the Fae. They are as alien to man as the gods themselves, and appear to be as alien to the gods as man.
Most of what we know of the Fae is either directly from the work of Synech Justil or owes greatly to his research.