Thematically? Shadowy is about stealth in a very literal sense. Y'know, not making noise, hiding. It also represents agility, and dexterity in general. Stuff like picking locks, too, is shadowy. Not because it's criminal-related, but because it requires nimble control of fingers.

Insubstantial is about blending in. Not being noticed in a crowd, or in a background. Waldo from Where's Waldo represents this perfectly! He's not *hiding* in the traditional sense, he just blends in.