It's possible the Shadows aren't just invisible, but insubstantial. What was, early on, assumed to be their ships having Star Trek-style cloaking devices because of the similarity of the visual effect turned out to be a way they can shift in and out of hyperspace without using a jump point. Perhaps when they disappear, individual Shadows are doing something similar, and not just becoming invisible using camoflauge, but actually, shifting outside of normal reality. It'd explain why Morden can move around in crowds without trouble, though there are some places where that doesn't quite add up (they needed Morden to pick the lock and open Kosh's door, they couldn't just walk through the walls, and one of them seemed to die when Londo had the spot where it was standing machine-gunned). Maybe they're... smaller or flatter somehow, but still inside normal space to enough of a degree to be unable to pass through solid metal, or avoid a flamethrower of blazing plasma.