You've killed us both

[Oscar House]

I don't know/remember where it was pointed out that the Shadow is a universal force, but anyway.
For the major part of the game, the Shadow is after Daniel because, simply, he's in the way. Now, in the end, when Alexander, Daniel and the orb are in the same room, the Shadow's primary target is the orb: once it gets the orb, it returns to where it came from.
- When Alexander manages to escape, the only person left there is Daniel. The Shadow takes him and starts another pursuit for the orb (and Alexander).
- When Agrippa manages to escape, both Alexander and Daniel stay. The Shadow takes them both and goes after the orb (and Agrippa).
- When Daniel foils Alexander's plan, the Shadow gets the orb and leaves.

This explanation has one flaw though: why would they even try to escape if the Shadow won't stop for anything? Maybe it would take very long for the Shadow to reach them again? Years? Decades?