Well since Plane of Shadow (government name "Shadowfell") is a negative-energy aligned plane of eternal  darkness, it's a relatively no-brainer for a powerful spellcasting vampire to carve out a personal haven there, where they can fear no sun and just spend some leisure time. It's not for everyone though, since I'm not sure that normal vampires can go without eating for long, and you'd have to be a potent wizard to come and go at your leisure. Or at least charm a wizard to arrange teleportation circles for you. 

Don't know about association with Shar. From personal experience, even vampires probably shouldn't associate with her, since nothing good comes out of associating with Shar, even if you're already an abomination against nature lusting for human blood.