You do not have to fill the Shadow section out if your character is going to obtain their Persona through other means. It's not strictly required for those taking that option, just there for anyone who does want to take that route and/or would like to take the time to consider that option for their character even if ultimately they choose to do something different. As a whole, we'd recommend filling it out, but if you have a character who it is difficult to imagine a Shadow for, then feel free to leave the section blank. Also, if you come up with something later, you may talk to us directly regarding it.