I also doubt the shadow is Bae’s, but it would be way too big of a coincidence for his arrival at the Darling home to have nothing to do with it. We’ve already seen that Rumplestiltskin has some sort of control over at least one Wraith, which seem to be similar to the shadow (scared of light and all). What if the shadow was an early attempt of Rumple’s to find his son, and it went awry? Or this shadow will somehow lead Rumple to controlling that Wraith in Storybrooke?