In the episode’s final sequence, we get a helpful diagram of Twin Peaks’ moral universe. As Eddie Vedder sits on stage, we see a spotlight beaming down from the top of the frame, casting a shadow behind Vedder on to, of course, a red curtain. The light that shines on him cannot help but create a shadow. (I’d provide a screenshot if Showtime didn’t have tech to prevent it.)
This would not be if the man himself emanated light. It is because the light shines from an external source that it projects a void. In order for light to reveal what shines, it must also project a void onto the space it lights. This is important; good and evil are starkly different forces, and they do not work together; rather, it is impossible to expose one without exposing the other. The shadows (tulpas) that appear in the Red Room can only exist because of the light in the people they double.