You know how Four asked Legend about a companion on his third(?) adventure in TSWK? Who was it?
Answer implied in the Ch13 flashback of TSWK— Four was talking about Shadow!
The Chain only knows the story of FSA as told in the games. None of them were aware that Four befriended his Dark, and Four really didn’t want to tell them, especially considering what Sky says in Ch10:
Sky’s gaze drops to the floor. “In retrospect, I was wrong to hesitate. Of course I was wrong to hesitate. I was naive and scared of killing for the first time. Demise was no Ghirahim, who was forged by the Goddess and might have had a chance; he was no Groose, who chose benevolence in the end. Demise was formed of pure malice, like all creatures of the dark.”
Four shudders visibly and pulls his bedroll closer around him.
Four assumes the Chain would insult Shadow’s memory, mistrust Four, or almost worse, condescend towards Four for having been so naive as to trust a manipulative Dark.
Four doesn’t want to have to deal with that. Not while the memory of Shadow’s last sacrifice is still so raw.

