We never got to know an individual Shadow, really, but we DID get to know an individual Vorlon, Kosh. Discussing it with friends, we got the impression that the Vorlons wanted someone on B5 as an observer/representative to the other races, but it wasn't really a desired assignment. We decided that Kosh volunteered for it and the other Vorlons eagerly gave it to him. He probably has a reputation among his people as quite the bleeding heart liberal. The Vorlon that came after, probably more representative of the dominating attitude of his people, although I don't necessarily believe that most Vorlons are such over assholes. But they probably are aloof, arrogant, and really don't have time for the other races as individuals.
Kosh Naranek was an exception. He WAS interested in the other races as individuals, and sought to spend time with them. He had his own agenda, and was a representative of his people. But he wasn't just about that. He also had affection for individuals, cared about them. There was no doubt he felt for Sheridan, for example.
The Shadows and Vorlons care little for the lives of individuals, but they have both shown a great deal of interest in the enhancement of the lesser species as a whole. Each in their own, opposed ways.
That's what the point of Into the Fire was. It wasn't just Sheridan rejecting their leadership----it was everyone. As in, entire species at once. And once the First Ones realized their only power over the younger races was in the ability to destroy them, they had no remaining reason to fight----each other, or the younger worlds.
This does require *some* interpretation, but not overly much. The clues were all laid out in plain sight.