The Myth manuals and other sources always state that Shades are undead Avatars; reanimated bodies of dead Avatars, and also lesser archmages.
But GURPS and some other sources say that a Shade could have once been a living person, who Willingly requested a more powerful Dark lord to be made into a Shade.
I think both cases can be true. Just like in my mini-me outline of undead creatures in a previous post, I believe the former Shade form is Shade Type A and the latter, you guessed it, Shade Type B.
-Welly