How does Kayn's shadow-orb signal work?

Solution 1:

It is an indicator as to where Kayn will be pushed to/placed if his Shadowstep [E] duration runs out while he is still within impassable terrain.

If Kayn is currently within impassable terrain and gets placed into combat, the duration of Shadowstep gets lowered to 1.5 seconds (doesn't apply if Shadowsteps duration is lower than 1.5 seconds when placed into combat).