You don’t need to worry about those shadows, they are just visualization artifacts. If you have very sharp edges in a surface then you may prefer to recompute surface normals with splitting enabled, for example using Surface Toolbox module:
If you are willing to learn some Python scripting then you can implement some helper scripts that automate this. For example, you could create cutting planes automatically from 6 planes of a ROI node. Otherwise you probably need to wait for the new markups ROI widget to be added to Slicer (expected within a few months).