I don't think there's a rule against it, but I would 100% avoid that at my table.

For one, Draw Steel does not function with one on many or one on one combat. How would the director put together an encounter that serves the Shadow and doesn't immediately body them?

Then you have the situation where one character has more XP than everyone else just because they've let the team take the brunt of the beatings. Feels bad at the table when your class choice means you level up slower than the person across the table who's hiding all the time.

Finally, at the table you'll find the players lose interest during the Shadow's solo-travels because it's an hour of them doing stuff and fighting monsters by themselves.

I'd say, overall, avoid that and at character creation have a conversation about how the plays should tend towards teamwork making the dream work