The T-Mobile Shadow splash is the animated sequence showing "T-Mobile Shadow". It appears during startup and shutdown. To change (or remove) the startup splash:
click on HKLM/Software/HTC/Startup. Notice the Image string value entry. Remove the data "\windows\TMO_shadow.gif" with a blank space to get rid of the splash, or change the path to an image you want to see. TMO_shadow.gif is itself an animated GIF, so yes, you can have custom animated GIFs. Try to make your custom GIF specifications same as that of TMO_shadow.gif - 240x320, 96dpi, 32-bit color. I could not make 8-bit static GIFs work!!
The same can be done for the shutdown at HKLM/Software/HTC/Shutdown.