Shadowmere can be somewhat problematic horse in the game. Even though she can't die, if she is in a combat and takes damage, (sometimes even if she isn't harmed), she will start walking instead of staying still. If she walks or if she goes unconcious while you leave to another place, that is when she will usually disappear. To stop her from walking, you need to ride her a bit and then get unmount her. (You might have to do this trick a few times before she stops). If she's still, you can travel anywhere or go raid some dungeons without a fear of her taking off. Granted, she will always reappear at Fort Farragut, but it can get troublesome to travel there very time she disappears so doing the trick above can save time.
