Does a shadow effect that doesn't do anything return Mountain Warg to staging area?
The rules refer to a "Shadow Effect Icon", the thing that separates the shadow effect text from the rest of the card's text:


  Shadow Effect Icon: If a card has a shadow  effect, that effect is denoted by this icon,
  which also serves to separate the shadow effect from the card’s in
  play effect.


As such, I take the presence of such an icon on a card to be the key factor in determining whether or not the card "has a shadow effect" in rules terms, even if the effect does not actually do anything when it resolves.