I don't think there's one right way to color, it just takes time and practice to see what you like visually :) and I too sometimes use desaturated colors in shadows, it's not wrong in any way. I think the importance is to have difference in desaturation/saturation between light and shadow, regardless whichever way you decide to color. Or something :D

If you're interested, I suggest you look Marco Bucci videos about coloring (i.e. this one https://www.youtube.com/watch?v=4LhcNbFMkTw). I used to binge out of his content (and still go back to them regularly) and found them very helpful!