Personally, I think that the most important thing to practice through shadow boxing -- if you haven't any training yet -- is how to keep your hands up. Like, when you throw combinations, I'd suggest that you remain aware of where your non-punching hand is. Ideally, it should be in a place, where you would be able to partially defend against an oncoming strike while you're in the midst of delivering one.
For instance, when you're throwing straights, is your non-punching hand in front of your face or has it drifted behind it? If its drifted behind it, defending against a counter will be harder than otherwise. When you throw a hook, where's the other hand? Crap like that can be surprisingly important. When sparring, you'll often feel stuff hitting your hands rather than your face, if they're in the right place. Good hand placement leads to a lot of unintentional blocking -- which is a good thing.
Oh! And practicing footwork is also something that can be done with Shadow boxing. Even if its something as basic as moving in and out between combos, and staying on your toes.
But yeah, good luck.