The major game effect of Shadow colours is the Witch Sight ability (since stuff like Holy Smoke just suggests levels of Corruption), which allows a character to see varying degrees of detail about a person, place or object's Shadow, so you only need to think about real detail if one of your PCs has this.
I don't think there are any hard and fast rules or specific correlations, its more a "gut feel" and abstract thing, a way of presenting a thing's place in the world in relation to the forces of progress and exploitation. The Ambrians tend to have metallic Shadows, which I guess reflects both the manufactured nature of their civilization (they build stuff, impose their will on the Wild and have commerce), whereas the Elves and the Barbarians tend towards primary colours due to their closer ties to the natural world (living flora and fauna don't tend to have metallic colours).
At a basic level, I'd assumed that Red Shadows indicated a more aggressive, dominant character, while Green was more nurturing and supportive, but throughout the books the Elves (and other characters) display an array of Shadow colours, including Yellow and Cyan, that don't have obvious correlations, more that "If I had to describe the character as a colour, it would be...". An Elf who is graceful and fast moving might have a primary blue-ish colour suggestive of fast flowing water, for example.
Corruption effectively serves as a second Shadow overlaying the base one, until it eventually obscures it completely, so Corruption for the above Elf might show as dark tangled stripes rippling through the base Shadow, suggestive of sickly reeds disturbing and poisoning the flow of the water. Corruption shows as a blemish on the base Shadow.
That's my take on it obviously, other opinions may vary.