I think Shadow leaves earlier in Sabin's scenario if you haven't done either Edgar or Locke's scenario first (I think it's Locke's, but I might be completely wrong about that, so don't take my word on it).

Also, there's no way to make him a permanent party member in the WoB - if you wait until just before the opera to buy his help, he leaves about five minutes through it, and if you try to take him to Narshe, he leaves there, too. Always pissed me off, but there's nothing you can really do about it. Least he becomes a permanent party member in the WoR.