Thanks very much for clarifying Rezzahan. I came to Magic well after Oblivion Ring and was, initially, also confused in some Sheltered By Ghosts interactions.

There are one-shot exiles and there are duration exiles. Exiling the graveyard with Dauntless Scapbot is a one-shot exile, nothing on the card implies that the cards could ever return, there is no duration.

610.1. A one-shot effect does something just once and doesn’t have a duration. Examples include
dealing damage, destroying a permanent, creating a token, and moving an object from one zone to
another.

610.3. Some one-shot effects cause an object to change zones “until” a specified event occurs. A second
one-shot effect is created immediately after the specified event. This second one-shot effect returns
the object to its previous zone.

610.3a If a resolving spell or activated ability creates the initial one-shot effect that causes the
object to change zones, and the specified event has already occurred before that one-shot effect
would occur but after that spell or ability was put onto the stack, the object doesn’t move.

610.3b If a resolving triggered ability creates the initial one-shot effect that causes the object to
change zones, and the specified event has already occurred before that one-shot effect would
occur but after that ability triggered, the object doesn’t move.

Like dauntless scrapbot wouldn't be able to exile all graveyards if you just destroy it as it enters.

So with an etb of a creature that exiles all graveyards, hits the stack, they kill creature so exile all graveyards shouldn't work then. But this still exiles all graveyards in game.

Sheltered by Ghosts, like all Banishing Light type effects, exiles for a duration, the duration being "for as long as this permanent remains on the battlefield". When the duration of an effect ends before it begins, like in this case, it never begins.

Do not confuse these types of effects with their predeccessors, the Oblivion Ring types. THOSE are comprised of two triggered abilities, one that exiles, and one that returns. If the return trigger goes off before the exile trigger resolves, the permanent is exiled for good with no way to return.

Banishing Light types do not have return triggers. When the duration ends, the exiled card is returned immediately, even during the resolution of a spell or ability. Oblivion Ring types can only return the card via the return trigger, which has to be put on the stack, and resolve, to do that.