It's been a while since I've played the Sidar, but I seem to recall that the Amurite world spell (Arcane Lacuna, which prevents all other civs from using magic for a period of time) blocks Sidar units from becoming Shades. If Arcane Lacuna is active, there will be red text in the lower-right of your screen (above the scores display) which tells you for how much longer spellcasting will be disabled. (You must have the scores display enabled in order to see this text. There is a button above the minimap that toggles the scores display.)