I've never seen Shades in an army supposedly lead by Soulblighter. The only ones in Myth II serve Shiver or The Deceiver.
Also, in Myth: TFL you only encounter Shades under the employ of The Deceiver and The Watcher.
So far all three are sorceror characters, and assuming that Balor has some, the trend would continue (He's a warrior, but he has some kick-ass power in the form of the Leveller spirit).
Perhaps only those with magical ability to begin with have the power to create Shades? Maybe Balor only gave it to those he thought could handle it.
I know when you encounter Soulblighter in TFL (Road North/Across the Gjol), he doesn't have Shades. And he never uses them in SB personally.