Before Lilith could respond to Shadow, he was off and working his magic. It was a terrible idea to break the concentration of someone mid-casting, so there was nothing to be done. She really didn't care to spend more energy on transforming when she didn't have to, and what if they did meet some more powerful demons? That didn't sound like a good thing to do while exhausted from flight and transformation. Plus, Shadow likely didn't weave magic anywhere near as overt on a regular basis, so he'd tire within five or ten minutes from the stress.
She called to him, "Shadow! Don't just fly off, we should stick together for safety's sake, and I'd rather not rapidly change my forms if I can avoid it. If you don't give your body some time to rest, it will take more and more out of you. Besides, we have a demon here who probably has a lot of information, if the ones asking the questions were less ... antagonistic. Besides, what will you do when you come upon a demon, but you're exhausted from maintaining your form for such a long time?"
Lilith was beginning to think that just outright killing Shadow and Kane would give the other three a better chance for survival, but that thought quickly flitted back out of her mind as that would be wrong. At least Therese was competent enough to shackle the demon when given the chance, and Giuseppe had, at least, not shown himself to be an idiot.
At the very least, now that they had a source of some information, Lilith could use a bit of a rest just to acclimate her mind to the new world they were all in.
Azore of Ath-Ron