Remote Shadow is the ability for an IT Administrator to remotely connect to your Terminal Server Session. Every time you log into the Terminal Server using the icons on your desktop, you create a session within the Terminal Server. IT can connect to you using the "Remote Desktop Shadow" capabilities built into the Terminal Server Services on the Terminal Server.
When IT alerts you they are going to shadow your "RDP" or "Terminal Server" or "TS" session, they are asking for permission to connect to you. Should you agree you must allow them to connect. When the session is initiated you have 2 minutes to approve. A window will appear in your session asking for permission to connect.
Simply say yes and not only can IT see what you are doing but they can assist you as well. If you do not answer or hit no IT will be denied access.