Shadow Fallen can be the worst RNG in this game. They're shadows of animals on the floor, in which activating the Veil Crossover with L2 ontop of them turns them into a special fallen with really good loot.
Shadow Fallen ONLY show up in the living realm as a shadow. If you take too long, they'll disappear from that area. The issue with the main game is they can be ANYWHERE in a huge map anywhere, but if you save it for the 101 floor dungeon from Post Game, the Timeworn Keep, then it'll be infinitely easier.
Paths are limited. Go throughout the 101 floors in the Living Realm as much as you can. I think I encountered 2-3 Shadow Fallen in the main story, then 11-12 in the post-game dungeon. I'll even post a pic below so you know what you're looking for. It can be a giant bird, a smaller bird, a fish, or something else I've not yet seen.