First off, thank you for the tranlation I was really hoping someone would pick this one up.
I think they should keep the 3rd person however. I personally believe that if it feels unnatural is because it's meant to. It feels like the shadows that haven't merged are incapable of refering to themselves in any other way. I mean if the raw goes through the trouble of putting their names in furigana every time, it's probably for a reason and when they don't do that it will definitely mean something.
Hmmm, alternatively , do the same and put their names in small font maybe?
Thinking about it I get why it hard to keep the 3rd person but it's something you'll have to add a note later pointing out when a shadow isn't using it or something, I don't know.
TL;DR - I prefer you keep the 3rd person , but you do you man, and thanks again.