I've never had a shadow audit, but like a dumbass, I'd be the first to ask for one - (I mean, not if my job depended on getting a certification THAT AUDIT)
1) I want to see how they teach auditors, what auditors look for, what they're paying attention to, etc
2) They gotta learn. I'd really like to teach that shadow auditor what an awesome challenge / response / fight back is, and have them learn when to back down. This is why you show Mickey D's employees where the "cheese" button is. So that next time you go get a QP w/ Cheese, you don't have to show them. Plus, they'll remember you, so when they're auditing you 5 years from now, you can say "Oh, we both learned that thing during our shadow audit, good times bro"
3) More eyes = Better audit coverage (could go both ways, more likely to fail, but you're paying for it, so get your $ worth)
4) More people - higher chance my charming personality and corny "I'm being audited now" stress jokes will be effective (only works on 3.4% of general population) (goes both ways - more chance my jokes will grate them)
5) Maybe I can wrangle some sweet, free consulting out of my shadow. Sure, the auditor giving you advice would be a conflict of interest, but this guy? This guy is just standing there. Not grading a thing.