They technically followed through on it within Shadow the Hedgehog. During the true ending boss fight against Devil Doom, the other characters sometimes chatter in your ear to cheer you on or whatever. If you play the boss fight long enough (longer than it would probably take you to beat it) then Eggman chimes in to basically say "Hey Shadow, you know how I've said some things to make you think you're one of my robots? Well that was complete bullshit. You're the real Shadow that I found after you crashed to Earth and I based my robots off of. Just wanted to let you know."
Unless you mean the Shadow robots never appeared again, cause yeah they just disappeared after that game. We can only assume Shadow blew them all up and Eggman just didn't feel like building more.