Xen probably wasn't an orphan; he just didn't know who his parents were. Possibly dumped, maybe they couldn't look after him, he doesn't know. He never knew who there were, so he doesn?t know who to ask or where. He lived in the shadows, mainly afraid of people knowing what he was and shunning him for it. He spent most times as creatures native to the area he was in, watching them, studying them to see how they lived and acted...
When not watching others from the shadows he spent days in more conventional forms (Human normally, feigning that he was a young farmhand out to earn a little more coin for his parents) trying to help people with menial jobs, getting enough pay to sustain himself whilst trying to do jobs that would benefit others at the same time. Longing to find somewhere to settle down, he travelled from place to place watching and observing others from the darkness while trying to help any in desperation, hoping to keep them in a normal life rather than the shifting shadow he felt he was forced to live in. He longed for friends, a home, somewhere to call home, whilst not settling down entirely, at least somewhere he could come back to be himself as he wanted to be, in whatever form. He also wanted to elevate his menial helping to a position of at least some power to have a greater right to protect others, to make sure the people doing obvious wrong were delt with at least from where he could watch to make sure it was done, not letting them go free to harm others, having seen many thief, murderer and bandit plying their trade in the dark streets at night.
When he grew a little he knew that although hiding and watching others was interesting and helping out others with menial tasks gave him at least some feeling of wellbeing, he knew he had to do something about these threats to the innocent townsfolk and civilians. Not having much money or anyone to teach him the ways of weapons (not wanting to break the look of an innocent child by taking up arms) he spent hours, even days meditating, trying to focus his mind now that he had mastered his body and the forms of others. Over time he grew more focussed and started to fight the vermin in the city sewers, moving up to weaker bandits, all the while learning how they fought and how to make the most out of situations, normally attacking from where the bandits least thought they would be ambushed from: their own shadows.
Though with this all being well and good, he wished to allow himself to become a someone, rather than a shade in the night, although not being seen would give him some enforcement benefits, and knowing well lots of the creatures of the land and their ways would add to that benefit, allowing him to stalk his ?prey? without them even knowing who or what he was, or that he was even there?