"Shadow" was a team of train robbers, Billy and Clyde. Billy supposedly died of some fatal wound, and Clyde would later find his trusty dog "Interceptor" at some village and take on the "Shadow" name. Not knowing this isn't a huge loss, but it gives more flavor to some of Shadow's very few dialogues.
Collecting this bit of fragmented backstory requires having the fickle Shadow stay with your party, and also sleep at inns enough times as opposed to using other free facilities for recovering health. You kind of have to go out of your way to see these scenes, making this one of the more easily missed side quests of FF6.
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