To achieve a better understanding of shadows and reflected light, it can help if we can actually see it happen. I created the general shape of a building to demonstrate the point. Look at the photos of the building. I place the building on four different colored surfaces. Notice how the color of the shadows changed on the building, depending on the colored surface it is placed on. There are 2 kinds of shadows here (cast & form), and both are affected by reflected light. Click on the picture to enlarge so you can really see the shadows.
In this next example I want you to look at the bell pepper sitting on a white surface. Look at the cast shadow beneath it. Do you see the color of the object reflected in it? This is reflected color in the shadow.
The best teacher is seeing it for yourself. On a sunny day go outside and explore shadows. The only time you will see gray shadows is on a overcast day, and the shadows are very faint. The only time I see gray shadows is when the object is sitting on a gray surface (i.e. a building in a parking lot).
So next time you are painting REALLY look at the shadows before you reach for a tube of gray paint.