Anyone else expect that to go somewhere? I was really hoping he'd take over and try and kill me or shaun or something.

Yeah, me too I expected something but it never happed. Anyway I did that mission only once but are you sure the memories were in Valentine? I thought those memories were merged inside your brain and Valentine did only hosted during the process.

I suspect this will play a part in the far harbour DLC

My personally theory is that there is no missing woman and the whole thing was set up by Kellogg (who has now taken over Valentine) to get you to an isolated place so he can kill you or trap you and then go back to the commonwealth to kill everyone you love.

Alternatively instead of killing you it's to get an new synth body with Kellogg blackmailing you with Valentines "life" to get you to help him... You can then decide to either let him go or kill him (again)

I interpreted the "the residual voice may fade away eventually" thing as "This may or may not be a DLC plot hook in the future, but until then, just don't worry about it." That said, I'm really hoping this does become a DLC, it'd fit nicely with Valentine's theme of self-identity. Right when he starts to develop a new identity for himself, Kellogg hijacks his body and starts killing again.

afterwards you talk to Valentine and kellogg taunts you from inside him

That was Nick being a wiseguy. He does have a sense of humor.

I am torn. Nick is easily the best companion in the game, but Kellogg is easily the best character.

I hope that we can make a synth body for Kellogg to keep both as companions. I would roam with Kellogg -- but he's not getting his gun back.

http://www.nexusmods.com/fallout4/images/20425/?