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I'll try my hand at answering this question, but I hope that others give it a shot as well.
I re-read the poem at the site that you gave, came up with my own interpretation of the Shadow, and then went looking for outside links only to find someone who answers the question better than I could. The link is given below.
Grover Smith writes:
With every effort to make the potential become actual a "Shadow" interferes. This, whatever its private value, has in the poem no clear conceptual reference. It implies Prufrockian inertia incapable of connecting imagination and reality, a defect of kinesis, in part a volitional weakness and in part an external constraint. Deathlike, it hinders even the attempt at prayer through which the speaker might come into the "Kingdom" of pure actuality beyond. Eliot's threefold grouping of contrasts between prospect and fulfilment comprehends three failures. The oppositions of potentiality and actuality are not the Aristotelian or Thomistic ones; they blur as the enumeration passes from "potency" and "existence" to "essence" and "descent," but each constitutes an antithesis compatible with Aristotelian dialectic. Even "motion," normally actual, can fit into the potential category through its special meaning of "initial impulse," by which it contrasts with "act:" Each of the three groups (by ambiguities) recapitulates the preceding, until by accumulation all three groups combine in the third, just as, according to Aristotle, the soul includes in its highest powers those of the inferior species. Perhaps the first group chiefly connotes sex; the second, sex and creation; the last, sex, creation, and salvation.
This interpretation makes complete sense to me. See, for example, the part of section V that reads:
Between the conception
And the creation
Between the emotion
And the response
Falls the Shadow
I understood this (before finding Grover Smith's statement) to mean that something is coming in between the cause and effect, the idea and the realization, the feeling and the reaction.
Before I end, I would like to add that, to me, Eliot (especially in the 1920s, when he wrote "The Hollow Men) frequently deals with death, both literal and cultural. He's not the only famous writer active in the wake of World War One, of course, but he's one of the best to present the war's lingering influence.
This is just by way of addition to what was a very erudite answer given by my friend. I would like to read the 'shadow' in Eliot as an insight into the failure of realistic representation, a shared position with almost all the Modernist authors. This is a tenable alternative to the mystical interpretation of the lines, I think.
The shadow is the acknowledgment of a void or a lack which is at the core of any realistic appropriation of reality. Eliot ethically admits it. It is also related to the hollowness of the hollow men who become Eliot's metaphorical image for the whole of human civilization ailing at the hands of war, devaluation, violence etc. There is no steady sense of ego in these men and the nebulous shadow is a pointer to that.
The shadow is a break that alienates the two terms of a series of apparent causal relations (idea-reality, motion-act, conception-creation, emotion-response, desire-spasm and essence-descent). So, as a separator, it renders the causal relations arbitrary and I think Eliot's poetry here looks forward to or anticipates much of what will be theorized under the rubric of poststructuralism.
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