Personally I interpreted the shadow to be Daniel's waning sanity incarnate. I figured that being in contact with the orb drives one insane and the visions are so real to the individual that they indeed cause them harm (the shadow growth hurts you, but in reality you hurt yourself. or something along those lines).
As other have said, the mystery and vagueness of the shadow is intended, but that said, it doesn't mean it can't be explored. The basis of leaving the slate blank is so the reader/watcher/listener/player will fill it in with their own fertile imagination, fresh from being stimulated with macabre imagery and suggestive information.
At the very least, this is an excellent opportunity for you to come up with your own answers to these questions, perhaps make your own book/movie/game/custom story with the concepts you come up with.
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Tin Hanan/The Shadow (spoilers)
