RE: Just got Pokemon Colisuem
All the shadow pokemon are optional in terms of catching them IIRC, though it would best best to actually catch a good few because it's nice to have a variety of pokemon. Remember though, if you beat a shadow pokemon you'll never see it again!. And be warned, it takes a long time to train in the game, so the only way to train your pokemon would be doing the colosseum. If you manage to obtain all the shadow pokemon and purify them as well as beating Mt. Battle, you get a Ho-Oh. I'm not too sure if it has any special moves like Lugia in Pokemon XD though.