I never had a shadow issues because my hair was already mostly gray when I shaved. In general, the darker and thicker the shaved hair the darker the shadow. Of course, like you said, lighting makes a big difference in photos. As does when the photo was taken - immediately after a shave or 12 to 24 hour later. Obviously, the longer the stubble, the grater the shadow.
One other think to consider, and this is just speculation on my part, but a cold water rinse after shaving is supposed to help the pores close up somewhat. Seems like that would reduce the shadow by covering up the stubble.
I doubt that your shaved hair has actually become any darker or thicker.