I think Regina suddenly gets a coat too, maybe a different part of the island is colder? Even if they temperature control the studio, it might be built like a large warehouse so if there is a sudden change, the temperature inside can get cold until the heat can catch up. That happens in my house so I can only imagine a large studio.
It might be also symbolic that she is less vulnerable, or darker.
PoM the people who suggest that Neal is “acting like Rumple” about the shadow are off-base as RG pointed out, and oddly they miss the good ways Rumple acts where one can draw comparisons too Look at how Neal is understanding Emma’s feelings. If he is acting like Rumple it is the side that loves and appreciates the woman he loves awesomeness, that realizes the strength and confidence she brings him through her love even if they are apart, even when he doubted he would ever be good enough for her and may still doubt it.
“If I had a world of my own, everything would be nonsense. Nothing would be what it is, because everything would be what it isn't. And contrary wise, what is, it wouldn't be. And what it wouldn't be, it would. You see?” -- Lewis Carroll, Alice's Adventures in Wonderland & Through the Looking-Glass