No, I dont think so. When s/he drops in that whole, you see her/his eyes lookin around all curious like. Like 'oro? how did I end up in this hole?'. S/He probably just hopped out and followed, I dont remember seeing Mog and Umaro and such in the big ending after everyone had their scenarios.

What bothers me is... why did no one notice or care that Shadow didnt make it?