Yes, the answer is Mary-san. Your shadow might get tired of following you around and run off to take a smoke break, or even get captured when you run off, forcing you to come back to get it later and get it sewn back on, Peter-Pan style.
I feel like Mary-san's more trustworthy and consistent than your feckless shadow. That thing doesn't even come out unless there's a light around you. Mary-san doesn't need light to be next to you.