Shadow Dungeons are Dungeons where there is a high chance in multiple groups of monsters attacking you. Here you don't want to just stand around, because monsters will pull you.
You need to go through Shadow Dungeons for many Mercenary recruitment quests.
It's advised that you use Bewitching Scrolls or be in a party when attempting these.
Some players turn on auto battle in Shadow Dungeons where they know their party can easily defeat monsters and then go AFK for a while, so that their team grinds automatically.