Does anyone know some songs about fallen/shadow angels?

You can try Nightwish's "Angels Fall First", for example. Or then For My Pain's "Dancer in the Dark". They're really beautiful songs, both of them.
Nightwish is a Finnish symphonic metal band, and For My Pain is a gothic metal band. It's Finnish too.
"Dancer in the Dark" isn't maybe about a shadow angel, but the song is telling a tale of an angel dancing in the dark. I hope you like them. ^^