Does VSTS support shadow folders?

Shadow Folders are a specific concept supported by VSS. Shadow Folders are typically used as part of a build process.. There is no direct equivalent in Team Foundation Server. To purely replicate this functionality you can create a separate workspace and have a scheduled task to sync, “Get Latest” on a regular basis. If you are using Shadow Folders as part of a build process however, you may want to look at doing this as part of a build task using Team Build.