How is the order to play it when is revealed as a shadow?:

Text: Any damage that would be dealt to a Captain enemy is dealt to 1 Morgul Bodyguard instead.
Shadow: Attacking enemy engages the next player and makes an immediate attack, if able.

Image:

When an enemy attacks and it is flipped as a shadow card:

1. Enemy engages next player

(question: if it was last player, engages first player?)

2. Resolve the original attack against the original defender, even if enemy now is engaged to other player.

(question: if it was undefended, damage must be dealed to new engaged player?)

3. Resolve a new attack against the new player.

(question1: he will attack 2? first attack by shadow effect (the immediate attack), and second by order of rules -when enemies attack normally to the respective player-)

(question 2: if there are more enemies engaged to the original player, after the immediate attack by shadow attack, they attack, isn't?)

1. of course

2. this shadow effect interupts the current attack => http://community.fantasyflightgames.com/index.php?/topic/94076-morgul-bodyguard-shadow-effect/#entry918167

3.1 hum... I never though of this, I might have play it wrong then, what you describe seems right (unless when he engages the first player after leaving the last player)

3.2 yes, resume the turn as normal