Shadow kept her ground, as she stood next to Yami, while he tried to be the voice of reason for the young boy. It was clear that Mokuba was either trying to put himself into a state of denial, or is misunderstanding the situation. By the way he was speaking, this very deed was out of desperation, and considering that Seto has allegedly "abandoned" him, the younger Kaiba was putting matters into his own hands. Pegasus is already playing games with them, and the genie felt that Mokuba didn't have anywhere or anyone to turn to, in order to protect the company that his brother had worked so hard into building. 

At this point, as the mastermind, Maximillion Pegasus was putting every single one of them in danger.

Shadow continued looking into the boy's very soul, as if she was trying to find out whether or not he was being honest. A person's shadow doesn't lie, and the desire hidden deep within Mokuba, was very clear. [i]'He's telling the truth. I can see it in his very soul'[/i], she informed the spirit. [i]'I can help him, Yami. We can promise him that we will beat Pegasus'[/i], she reasoned with her partner, before looking back at the boy before them.