Note: This is just a theory and is subject to alterations.
The Shadowrealm is, I hesitate to call it another dimension as I think it is around half-way between 2 dimensions (us and the Afterlife). It is most likely made of the same stuff as our universe, but lacks the order of ours. The laws of physics don't always apply, atoms and molecules are constantly changing shape, time might even flow unusually, and, in general, our Universe is one of order, the Shadowrealm is one of chaos (I think this is actually caused by some sort of gravity from the 2 dimensions pulling on it). I don't know for sure what would happen if you touched Shadowmatter, but I believe your body would instantly disintegrate and die as your soul is ripped out and thrown across dimensions (quite painful and disorienting in my opinion). you However, there is one advantage to this that can make the Shadowrealm perfectly livable. The constant "morphing" of the Shadowrealm makes it's time-space continuum incredibly malleable, so anyone who enters the shadowrealm can form objects from thoughts (we can do that here too, but it's easier there), though only extremely powerful magic users can create anything of a significant size. Remember the domains that the pagan deities inhabited like Asgard, they were most likely Shadowrealms supported their incredible powers and may still exist. As far as I know every Realm (my name to distinguish the parts of the Shadowrealm we can live in from the rest) has a "portal" located on Earth. I think that many magical and mythical creatures also moved into Realms as we took over the world. Finally, I believe that daemons and djinn inhabit the Shadowrealm and are made of Shadowmatter (this would explain their shapeshifting abilities)