I understand that's what you were thinking but it's not how real light or rendering works.  Light is additive.  It isn't subtractive, unless you start messing with negative colors and intensities.  The shadow is just where the light isn't.  What color a surface is where a directional light isn't is determined, in general, by other elements adding to shading.  It's only black when there are absolutely no other elements to add to that shading.

Lights don't have a "color" of shadow, not even black.   This is exactly why painters use colored shadows: shadows aren't pure black except in outer space where there's absolutely no other source of light.  Otherwise, shadows are the color of your ambient light.  In Poser, we have tons of different ways of controlling our ambient light.  That's how you can control the color of "shadows."  Thing is, pretty much none of them are light dependent.

Let's say you have a room with a nice big window and a door to a hallway.  Let's say there's a person standing in the room near the door.  Let's say there's a light in the hallway, but for now it's off.  And let's say that it's twilight out and neither the moon nor sun is shining in the window.  What's lighting the room?  The ambient light from the sky and land.  It's probably blue. 

Let's say we want to make our 3d version of that scene, and emphasize the blue.  We make an IBL with a really saturated blue.  Yes, the light will get occluded by the room, but it will also get in through the window.  So we've got this dark but very, very blue room.  If we want to make sure nothing is actually black, we can take time and make all the ambient colors of the materials for the room the blue we want to be the very darkest color in our work.  And all the ambient values 1.  It's the color that things will be when there's no light, directional or ambient, hitting the surface. 

Now we turn on that light in the hallway.  Let's say it's a bright yellow/orange light.  What color is the shadow cast by the person standing near the doorway?  Unless that light is unnatural and has negative intensity or negative colors, the "cast shadow" is no different than it was before you turned on the light.  It isn't darker than with the light off.  It isn't blacker.  Or bluer, or redder, or any other color you could set your "shadows" to if that were possible to do for a light rather than a scene.  It's the same exact shading.  What's changed is the area where the light hits.  That's now brighter and warmer.  But the shadow is exactly the same color (same hue, same value)  it was when there was only ambient lighting and shading involved.

I think it might be cool to be able to set an ambient scene color.  It would be nice to have an ambient control that wasn't surface specific.   But I don't see how you can effectively set a "shadow" color for individual lights when shadows are everywhere in the scene the light isn't, not just where some parts of the scene are illuminated.  That would essentially cover the whole scene.  Not to mention that this is already controlled by IBL and/or ambiently shaded meshes.

Yes, you could go to the trouble of making a directional light that doesn't cast shadows.  That will make your materials glow, essentially.  But it seems to me to be one of the more complicated ways to change the shading where a directional light isn't.