About the Shadow (spoilers)

[Redeemer]

The Shadow came after Daniel because he tapped the orb's power but was unable to control it. Alexander, Weyer, and Agrippa don't have any problem controlling the orbs, thus they don't have any problem with the shadow.

Also the shadow doesn't stop for doors, it's pretty obvious that it will follow you no matter what physical obstacles you place between you and it.

EDIT: By the way, there is only one shadow and as the game states, the shadow isn't a vengeful spirit; it's the universe simply catching up with itself.