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.
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.