Just want to make sure that it's legal to play an event card or action to heal a hero after a shadow effect is resolved, but before damage is calculated? My understanding is that you can't interrupt the resolution of a shadow effect during normal play, but you can play actions or events at the end of this step before applying damage.

Yes, you have time to play action after the resolution of the shadow and determining the attack damage.

That is indeed the case if the shadow card says "ad X damage to attacking enemy", because there are still a few action windows before that damage is applied.

If the shadow card says something like "deal 2 damage to defending character" then that would happen before you have a chance to heal.