In the Shadow of Za'Ha'Dum -
This episode...was ok, but not great. The Morden/Sheridan confrontations annoyed me. Garibaldi "resigning" was predictable and obviously not permenant. Winters was an ass (she senses stuff about the guy, but then slaps Sheridan? I mena, it was a jerk move, but he proved that something is obviosuly up with the guy). The reveals by Kosh and Delenn were very interesting, and save this episode from being mediocre. It was nice to have atleast a few questions answered, even if it just raises more (Why would the bad guys recongnise Kosh without his suit, but apparently don't know the secret of Vorlons in general? Who was the ancient race that fought the enemy? Why did they die/leave, if they hadn't destroyed the enemy?). Overall, this was an ok episode, saved from just being average by finally giving some answers. Of the three episodes I wasn't sure about (There all the Honor Lies, And Now for a Word, and this one) it was the weakest, but its not bad.
I'm surprise that you haven't mentioned Vir's request to Morden. It is, I believe, one of the best parts of the episode and quite an important moment of character development for someone who has been nothing more than Londo's bumbling sidekick.
To answer your questions, as has been stated, Kosh said that everyone will recognize him. He meant that exactly. He isn't hiding from the Shadows. The Shadows already know what he is and who he is. They know better than anyone else, in fact.
As for the First Ones who left, it's important to remember that the First Ones are just dudes. They're dudes with godlike power, but they're dudes nonetheless. Maybe they had better things to do. Maybe they thought that hanging around to fight the Shadows was a waste of their time. Maybe they just brushed it off as the Vorlons's problem.
Another thing to remember, Kosh let Delen speak for the most part and everything that she knew, everything, came from incomplete thousand-year-old written records kept the the Minbari Rangers and Religious Caste. You should probably ask yourself why Kosh let Delen handle most of the explanations when he is one of the First Ones that she's talking about, and thus could have provided much more detail.