Subconscious are special immaterial beings. Created to observe the multi-verse and destroy all anomalies of all kind that can appears.
They are invincible (They cannot die by time but can still feel pain and die if they choose to take a physical form).
Even if they're born immaterial, they can take various forms, for example, Naivete, one of them, decide to take a humanoid form.

Each Subconscious represent one particular trait. This is a role that is given to them by their leader "The Great one"

Calua's true name is "Naivete" because he was suppose to be 100% Naive, but he was tired of playing this role and wanted to truly be himself and live his life like he wanted to since the beginning.