Serwe also sees the halos on the skin spy impersonating Kellhus.
It is my belief that they are not an illusion, but are in fact the effect of Kellhus being anointed by supernatural forces. (Take your pick - TTT, No-god, Solitary God, the 'World Soul' or just the insanity of religion in general leaking through).
She doesn't just see them first, Serwe is the mechanism by which they were placed onto Kellhus.