TBH most races didn't know the Shadows were some out of context threat. Sheridan told them but what evidence did he really have? It was all ancient myths and some words from a Minbari who wasn't even in good standing with her own people. They started to take him seriously after the Vorlons showed up at Sheridan's request.

There's a difference between certainty of the material existence of a threat and knowing its true origin and purpose.

Frankly it is amazing most races in B5 actually accepted at face value that the Shadows are not just another force. Then again that is justified as in universe the Vorlons fucked with everyone's genetics so they'd be naturally averse to them while seeing the Vorlons as angels.

In the end it didn't even really come down to exposing the Shadows (and Vorlons) for what they are. The races ended up with a personal loyalty to Sheridan and followed his lead.