So I looked at Shadow Kirby’s and it states that he is “Naughty” (can’t remember which part of his page) And when Shadow Kirby is in game. It shows him being more shy, scared, and nervous. Rather than rude or naughty.
In other games, that's where his mischievousness is showcased. Especially in Fighters 2, where he thinks he's pulling off a "prank" by fighting Kirby and his buddy.