Whenever Shadow is in your active party and you stay at an Inn or sleep in any bed (such as in the cabin near South Figaro), you have a small, random chance of acquiring one of Shadow's dream sequences, which will explain some of his back story. There are several of these random occurrences, and may not happen even once on your playthrough. Then again, you could see each dream sequence in one playthrough. It's all a matter of how many times you happen to stay at an inn with Shadow in your party. The more you do, the higher your chances are of seeing a dream sequence.