If I fail to evade Dimensional Shambler, am I lost in time and space?
Failing an evade check results in exactly the same consequences as failing a combat check.  So if you fail an evade check to a dimensional shambler it results in you being lost in time and space.

The FAQ covers this for a different monster


  Q: If you fail an Evade check against The Beast (Mask
  monster), does that count as failing a Combat check and
  are you then devoured if you also fail the Horror check?
  
  A: Yes.