The Shadow space is part of the calling convention - i.e. the standard describing how common functions communicate with each other.
If the whole program (well, not necessarily the whole program, let's say the piece of code where you're calling a function, i.e. both the caller and the called function) is under your control, written by you, then you can use whatever custom calling convention you want (pass arguments in arbitrary registers, get the result in something else than rax... whatever you want) and you don't have to create the Shadow space.
If, however, your code calls an "external" function (such as a Windows API function, or some code that was compiled by a C++ compiler... something out of the assembly), then you must create the Shadow space because the called function may be using it - and if you don't create it, it may overwrite unrelated parts of the stack and the program may crash after the execution returns from that function.
