The Shadows actually aren't trying to help Ned.
Each time they transform bit-by-bit, you can see them worrying. Now, if they were suppose to be helping Ned, why are they so scared of turning? Because it's not them transforming; they're actually being replaced by benign representations of Ned's fears, which helps him finally work through his nightmares. The replacing body parts represents how they're losing control of Ned's nightmares.