When I saw that scene I was so pissed off since Shadow was my strongest and favourite player in the whole game.

I myself have 2 theories, he did wait there for the tower to crumble and died, or like a ninja would do, wait till the last second and do some ninja skill thingy and get outta there, he let go of Interceptor cause he would just remind him of his old self, where Shadow now wanted to be a whole new person.