If the card enters play directly (not from shadows) does her text still apply? 'Return' to me suggests a starting location was defined.
A Reaction window opens up whenever the conditions are met (in this case winning a challenge with Starfall Spy). The "to" part in the following sentence is the cost that needs to be paid to activate her effect, if it's not paid she can't bring something out of shadows (it would be brilliant if there was a symbol to indicate the cost, but you have to search the text field for the word "TO" which splits the cost of the card and the effect of the card. The new card comes from shadows and "it" in this case is the Starfall Spy returns to shadows as a cost, there is no requirement of the Starfall Spy starting out in shadows to have that Reaction trigger. — Toaster 35