I can't think of any other reason that a character would be an immune to an elemental attack, other than that character has a piece of equipment that gives them that defense. Even if the armor is weak in stats, that doesn't mean that it can't have an ability like a null elemental damage. Try pressing Select during the equip screen to make sure.

Equipment that absorbs Shadow (information taken straight from the FF9 section of the EoFF main site, which I suspect many people often forget even exists):

Body:
- Demon Mail
- Ninja Gear (which I believe can be bought after the events in Terra, and can be equipped by many party members)

Accessory:
- Pumice Piece (which also absorbs Holy, though granted, you'll likely not have a Pumice Piece lying around if you plan on getting the Ark Eidolon, unless you fight and defeat Ozma).

Below is equipment that nullifies shadow elemental attacks (reduces damage by 100%, but absorbs nothing):

Armlets:
- Eogist's Armlet