He's simply much too fast for Kat to catch him. Kat can speed herself up using her gravity powers, but she would need to take short breaks to recharge her powers if she overuses them, while Shadow has no such limitation. She can use gravity to grab objects and protect herself from Shadow's attacks, but she would be too slow to be able to hit him either by throwing these objects at him, or by kicking him. She could catch him by using gravity in a wide area around her instead of targeting him specifically, but again her gravity is finite and she would need to deal some major damage in the short time she has him since Shadow is quite durable, which I don't think she would be capable of.
yeah I'm sold
it helps that he has gunz so he never has to get within close range to get ragdoll'd or caught in AoE
Shadow ---
another place and time, without a great divide, and we could be flying deadly high