This is not a real shade; it neither protects them from the heat of the fire, nor it is of any use against the flame. On the other hand, the people of Paradise will be entered in:

 وَنُدْخِلُهُمْ ظِلًّا ظَلِيلًا

(..and We will admit them to deepening shade.) (An-Nisa: 57)

In Paradise, it is not a normal shadow; rather it is a deepening shade. They are shades covering each other. On the contrary, the shade in hellfire is not shady as it does not protect from the flame which reaches the faces and burns them.