First off, let me give you my own opinion on who the shadow was. Lucifer, (or Lucy, if that's your preference).
Why? In Ghost Story, we learn that it wasn't a Fallen Angel exactly (per Jack). Lucy, in my mind fits this. In the same way that Alvin isn't exactly one of the Chipmunks. And yet, at the end of the book, Uriel states that what got Harry was once an angel.
I believe we have WOJ that Uriel has intellectus (trying to find the quote). So I'm willing to attribute it to Lucy as well. Which, in my thinking would go a long way to explaining how the entity, knew exactly what to say & when to say it, to Harry.
Harry would have thwarted Lucy, himself in Small Favor, so this would have certainly been a result of him thinking of the best time to strike at Harry.
Also, I'm willing to bet that it would take a major hellion, to lie to Harry within the confines of the church.
I acknowledge that there is a WOJ, that the Fallen can extend their influence beyond the coins, but it still doesn't feel right:
What’s the range of influence for the Fallen in the coins? How far can they extend themselves away from their Denarian hosts?
Oh, their range is very, very limited, to this one little planet.
Not to say that I couldn't be wrong, but I don't like the idea of Lashiel, being able to get into Harry's head, with both a church & distance standing in her way. Plus, last we knew she was still in church hands & I also dislike the idea that both Lea & Lashiel were put in action at the same time.
So, I fall back on my own interpretation, that it was Lucy. I've seen nothing that makes it clear either way. And since I've seen some WOJs that confuse Lash & Lashiel, I'm not prepared to say that its impossible that Jim messed up in saying that Lash & Lashiel were both in Ghost Story, since the only time I've seen a quote on the matter, it wasn't entirely clear (to me) that he intended to mean both.
Kevin