I thought it was absolutely excellent. First, it wasn't just another cliched shootout. Second, it was following a theme JMS had from the start. That despite the power and knowledge posessed by the Vorlons and the Shadows, they weren't gods, they didn't know and see all. And like humans, and reasonably, any sentient being, when taken from their comfort zone, they become insecure. This was one hella comfort zone they were leaving. The Vorlons especially wouldn't react well to it, as had been revealed, they don't take to change well. The Shadows were used to living their ideal, the peak of evolutionary strife, and now they were being removed from the driver's seat.
Lorien was the one being they knew that knew something about what was to come next, and the idea they would turn to him for comfort is very understandable.