It's a good point. Shade has a lot of abilities that no one sees but the reader. I think Dr. Fate was the only one with him when he confronted Culp the last time? And very few heroes have seen him demonstrate his ability to teleport via the shadow.
Neron and a few others have seen him spawn shadow demons to take out loads of people at once, but other than that, he tends to focus on one person or object at a time, at least in public.
It's also never been established what bright light even does to his powers anyway, as he avoids possibly dangerous situations(like entering buildings on fire) but he's said that nothing can take his powers completely away, which may mean he can't project shadow in perfect light, but remains invincible and immortal.