Rules ref states the redirected challenge is "considered to have been initiated against the original opponent, but it resolves against new opponent" - this means that the new opponent cannot trigger "when a challenge is initiated against you" triggers (but the original target can) e.g. Core Eddard Stark stand reaction.

Should this be “printed cost X or lower cannot be declared” or is it this specific cost can’t be declared?

Only effects specific cost X characters, see Stannis's Cavalry for a similar wording. —

Does the new "Shadow (X)" overwrite the original shadow cost of a card already having shadow, or do they keep the original shadow cost, or have two shadow keywords?

It gains an additional instance of the Shadow keyword. Per the rules for Shadows: "If a card has multiple instances of the shadow keyword, each with a different (X) value, the player controlling the card may choose which instance of the shadow keyword is used to bring the card out of shadows." —

Does this work with Walder Frey?

The Lord of the Crossing agenda?

Making a Frey deck, cause I like to play the anti hero


When you make your third challenge with Lord of the Crossing, you can stand a participating character whose strength was raised. —
Whoops, hit enter by accident! If you attack in the third challenge with a Frey character, Walder Frey will also join the challenge and have his strength increased, and so you can stand him. —

Rules FAQ

  • King’s Landing does NOT permit a player to marshal a location into shadows. King’s Landing allows you to “marshal a location” from your discard pile, and marshaling a card into shadows is not considered to be “marshaling a location.”