During the fight, after an amount of time it'll dissappear, sometimes taking control of one of your allies, as well as summonning tavern fighters to distract you and to heal itself. When it takes control of your allies you have two options; the first is to beat your ally and then bring him back using the Outsider's Power. The other (and easier) is to diffuse healing circles to snap them out of its control. You must dispatch the fighters quickly, for any fighters not defeated when the Shade comes back will be absorbed by it, healing it.
After you defeat the Lesser Shade, you will automatically be rewarded with a ? Crossbow, which when appraised will become either a Fast Crossbow or a Sniper Crossbow. The one you get is completely random.