When you started saying that it would be a shadow dimension, my first thought was "what happens if she walks into a shadow wall?", though if she's intangible to things in that dimension too then that pretty well solves it. I'm guessing that it would be easier for her to create/maintain friction on a "solid" surface than it would be to do it in the air? (hence why she can still "walk" but not fly yet). 

Would there be other people/creatures that she could interact with in this shadow dimension? Ones that don't exist in the normal one?