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The Shadow Spawn feat says "You have advantage on any Dexterity checks when sneaking or hiding". Am I right when I interpret this to mean that you dont get Advantage on the Stealth roll itself, but only on any subsequent Dexterity checks you make after you have already started "to Stealth"? For example; you can attempt to Hide using your normal Stealth check, and if you attempt to steal something from a guard looking in a different direction, you gain Advantage on your Sleight of hand roll?

What you mean is if it's not explicitly written that it applies to all Dexterity (Stealth) checks, then it would only apply to Dexterity checks while already "stealthed"? Hmmm, that's a valid interpretation but it is not how I understood it.
I don't know if the Ruins of Symbaroum rules were written as strictly as the 5e rules. Anyway, you are the master of your table and if you choose to make this ruling, your word is law.

Bear in mind there are no skill checks in 5e. Only ability checks, to which the proficiency bonus might apply if you're proficient in a relevant skill. Or to say it another way, there is no Stealth roll, there is a Dexterity (Stealth) ability check or a Dexterity (Sleight of Hand) ability check.