Huh. Interesting question.
I might be inclined to rule the other way myself, but I can see it both ways. This isn't a triggered ability, which has to wait until all other abilities complete, it is something that essentially part of the draw. However, that is not codified in the rules of Draw nor the entry for Lost Souls, so we can't say that for certain. It also raises the question of whether, for example, a Unified Kingdom bringing in a King Solomon causes the fortress to complete as well before other banded Heroes have their abilities complete.
I personally see these cards activating (Lost Souls or the fortress in the case above) as being part of the ability that caused them to be 'played' (much like a band that brings in a character activates it before the banding card completes). I don't see anything explicit in the rules either way, though.
