In a question prior to this, sombra also meant shade (one of the multiple choice questions). Why is it not correct now?
It could be in some contexts, but in general "shadow" is a lot more likely. People don't generally possess "shade."
Why is esto used here? Isn't sombra's gender female?
I believe that as long as you haven't introduced the referent yet, you can use "esto" (which is neutral in gender despite the "o"). I think you can also use "esta" though, since you do eventually establish it to be female.