Let the gentle, kindly phantoms haunt us as they will; we are not afraid of them.
I an confused about the phrase "as they will" – does this "will" means an intention? Like, "all they want?"
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Pretty much yes, it's a rather archaic verb form of 'will' as noun -
"the thing that one desires or ordains:"
Jane tells St. John that she could marry him if she only knew it was God’s will
chiefly formal or literary intend, desire, or wish (something) to happen:
their friendship flourished particularly because Adams willed it
at whatever time or in whatever way one pleases:
he seemed to think he could walk in and out of her life at will
In your context "as they will" is a somewhat archaic phrase meaning "whatever way they want".
You'll nowadays find this expression in the fundamental tenet of the Wiccan faith:
Wiccan morality is expressed in a brief statement found within a text called the Wiccan Rede: "An it harm none, do what you will."
It means: Do whatever you want, just don't harm anyone.
Another common phrase where you hear it is military "Fire at will" - order to open fire at the enemy picking targets of opportunity - not salvos, not cover fire, you pick your targets, and moments to shoot.