The movie gives enough clues and hints - the trio's obvious connection to Sephiroth and their desire to 'become whole again' by reuniting with Jenova's cells and bringing Sephiroth back, and so forth. It's also made quite clear that those fellows are manifest spirits, rather than 'real' people, when they absorb materia, and are completely dissipated by the healing rain at the end. Basically, a lot of things only truly make sense if you assume that Kadaj et al are incomplete remnants (another major hint) of Sephiroth.

Reading all the speculation and discussion around the forum was helpful, too.