If you draw an objective ally (such as the Gildor Inglorion boon card) as a shadow effect card do you still claim it, or do you discard it?

Discard it, like any other shadow card. That's when you want the card Shadow of the Past to stick it back on top of the deck again so you reveal it the following round.

Having partially learned their lesson, some of the later quests have either beneficial shadows on Objective-Ally cards or occasionally text on the card which specifically says it does something other than just getting discarded.

But mostly you just suffer the misfortune.

Thought so, but hoped it was otherwise. Thanks.

We just played A Shadow of the Past for the first time, and in our first Hide Test... Gildor was discarded. Then, later in the game we had to shuffle the Encounter discard back into the deck, and then, Shadow card...Gildor. It hurt, it really hurt.

I've had a few games like that.