Well, in my interpretation, shades are what's left of the spiritual energy of a being. But since WoJ says a Queen loses her soul, and likely along with it any sense of individually, I can't imagine there'd be much of anything left of the original host spiritually that isn't incorporated into the mantle.
Besides, shades of former Queens would be very, very bad from a security standpoint. I'd imagine the Queens would endeavor to make sure any remnant of a Queen's knowledge wouldn't be free to fall into the hands of others.