That's RNG. Every set item has the same probability of dropping, see here. Also, you should consider yourself lucky then; especially UE and Marauder's are much better sets (UE for farming Torment and early GRs, M6 once you go a bit higher). Shadow's is a good start and there are some nice variants, like the Shadow's+Sage's DB farm combination (which means you don't need the full Shadow's set), but full Shadow's is the least useful of all DH sets.
Of course it can drop anywhere. Fastest way is to gamble for the missing pieces. Though Shadow can be quite powerful with 2 pieces only and later you might want to transition to UE anyways.
That's RNG. Every set item has the same probability of dropping, see here. Also, you should consider yourself lucky then; especially UE and Marauder's are much better sets (UE for farming Torment and early GRs, M6 once you go a bit higher). Shadow's is a good start and there are some nice variants, like the Shadow's+Sage's DB farm combination (which means you don't need the full Shadow's set), but full Shadow's is the least useful of all DH sets.
Of course it can drop anywhere. Fastest way is to gamble for the missing pieces. Though Shadow can be quite powerful with 2 pieces only and later you might want to transition to UE anyways.
Also: Moved to DH forum.