Shadows and Personas are real...
Psychologically speaking.
Yeah they are real, but they're all composed of your unique neurological akasha, and only prostituted from a platonic sea. Shadows are significant because they prove you can understand more about a person through their dislikes and what they are not than what they like and are.
Personas (and shadows) as they are separate from individuals are archetypes: Campbell's Monomyth, every major arcana, the mother goddess, the human artisan (clay to man, the old and modern Prometheus (Greek myth vs Mary Shelley)), the wise old sage. They're essential psychical commonalities across all cultures, like a transcendent form of the scientific memetic. The mother goddess, for example, can be Ama Lilith, Yin, Adi Parashakti, Isis, Hera.
The critical threshold is when you accept the significance of what those archetypes represent (the mother goddess as the divine feminine, the soft, weak, liquid, transformational, energetic, receptive, the ultimate object) as metaphysical metaphors and take them upon yourself. This is where social links/bonds as personal and spiritual growth come into play, since you'll transfer skills from your old and improving cognitive paradigms forever on as understanding with universality, embracing the archetype more readily and profoundly, aka big exp boost. Personas and shadows do exist, but they're literally just splinters of your ego, spiritual razors, like familiars. The worldlier, studied, and intelligent will obviously be the actual champions of this universe.
It's why personas and shadows are born from the sea of the unconscious (universal archetypes) and become yet the mindful person's mask or antithesis. The versions we summon in ourselves as the multifarious sage with the fool ability are a function of the transformative power of zero, of true objective understanding in losing yourself and becoming like water, beholden to no coordinate or angle, reflective of all, taking the shape of any desired container, altogether the true meaning of ego death, and a crucial step in dharmic salvation/becoming one with the Dao/experiencing the Beatific vision/accessing Ajna and ultimately Moksha (here you see the soteriological archetype). The fool represents all these things and more, especially sunyata. Understanding all of these things does not literally turn me into Buddha, but it imbues every motion I make with his wisdom, and Persona games use special spaces/times that allow these things to materialize for gameplay and marketing, but also to show that understanding and assimilating the anthologies of divine wisdoms is the irl equivalent of truly harnessing this or that deity's power, which is part of why you summon tinted, illusory versions of them. If you actually summoned Shiva you'd be able to destroy infinite universes in a snap, but you can't for these reasons.
There's way more to say about it but it's important to actually read religion and magic and philosophy and literature if you want to understand Jung, like with anyone else who was enamored with those things.