Let me propose a possible answer: Say that the Shadows can change from their physical form and become non-corporeal, while remaining invisible, with short notice, say a few seconds. Let us also suppose that they can't stay like this for long, however, and must return to physical form. Thus, when a physical form would be limiting, like in a crowded area, they can become non-corporeal long enough to get past the situation, and then return to physical form, once clear to do so. We would also have to suppose that they are vulnerable to physical attacks while in physical form, but only if that attack can harm them before they have time to change form.
Note that this explanation assumes that the Shadows did not know they were about to be shot, which means they neither were able to eavesdrop on Molari when he prepped the guards (a range limit on eavesdropping could explain this), nor were they able to read any of their minds. So, if they can read minds, they chose not to, perhaps because it would be apparent to the mind-reading targets and reveal the Shadow's presence and abilities (the Shadows being all about keeping hidden).
One variation on this theory is that the non-corporeal form must exist within a physical host, like Mr. Morden. There they might be vulnerable if he was killed, so would only choose this option when necessary (crowds, etc.) or if they considered the host to be a safer situation than they were as physical beings. This would explain why they weren't within Mr. Morden when he was summoned before Prime Minister Molari, since they considered him to be in danger, Molari having a well-known hatred for Morden, and just having achieved a position where he could have Morden killed (as he soon did).
The Shadows also could have presumably kept Morden from being hauled before Molari, but they considered it important to know what Molari had to say.